Explicit solutions to correlation matrix completion problems, with an application to risk management and insurance

We derive explicit solutions to the problem of completing a partially specified correlation matrix. Our results apply to several block structures for the unspecified entries that arise in insurance and risk management, where an insurance company with many lines of business is required to satisfy cer...

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Veröffentlicht in:	Royal Society open science 2018-03, Vol.5 (3), p.172348-172348
Hauptverfasser:	Georgescu, Dan I., Higham, Nicholas J., Peters, Gareth W.
Format:	Artikel
Sprache:	eng
Schlagworte:	Chordal Graph Correlation Matrix Mathematics Matrix Completion Maximal Determinant Positive Definite Matrix Risk Management
Online-Zugang:	Volltext
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