Prof. Gareth W. Peters
(Heriot-Watt University, UK)
Title
Explicit Solutions to Correlation Matrix Completion Problems for Risk and Insurance
Abstract
In this talk, I provide the first known closed-form solutions to correlation completion problems of certain structures. Furthermore, I will also connect this work to existing numerical optimization and search-based solutions and to statistical problems in covariance shrinkage. I will motivate this work from a context of risk management and insurance. The talk is based on the published manuscript available at ssrn as follows: Georgescu, Dan and Higham, Nicholas and Peters, Gareth, Explicit Solutions to Correlation Matrix Completion Problems, with an Application to Risk Management and Insurance (October 13, 2017). Available at SSRN: https://ssrn.com/abstract=3054171 or http://dx.doi.org/10.2139/ssrn.3054171
