Explicit Solutions to Correlation Matrix Completion Problems for Risk and Insurance
Gareth W. Peters  1  
1 : Heriot-Watt University

Agenda

1 Risk and Insurance Context

2 Objectives of the Problem

3 Proposed Solution Framework

4 Dual Problem Approaches to Correlation Completion vs Covariance Selection

5 Maximal determinant completions

6 Appendix Examples of Insurance Application

7 Appendix Proof of Main Theorem



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