Research from University of Waterloo Provides New Data on Risk Management (Implementing the Rearrangement Algorithm: An Example from Computational Risk Management)

2020 JUN 02 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators publish new report on . According to news reporting out of Waterloo, Canada, by NewsRx editors, research stated, “After a brief overview of aspects of computational risk management, the implementation of the rearrangement algorithm in R is considered as an example from computational risk management practice.”

Funders for this research include Natural Sciences and Engineering Research Council of Canada.

The news editors obtained a quote from the research from University of Waterloo: “This algorithm is used to compute the largest quantile (worst value-at-risk) of the sum of the components of a random vector with specified marginal distributions. It is demonstrated how a basic implementation of the rearrangement algorithm can gradually be improved to provide a fast and reliable computational solution to the problem of computing worst value-at-risk. Besides a running example, an example based on real-life data is considered. Bootstrap confidence intervals for the worst value-at-risk as well as a basic worst value-at-risk allocation principle are introduced.”

According to the news editors, the research concluded: “The paper concludes with selected lessons learned from this experience.”

For more information on this research see: Implementing the Rearrangement Algorithm: An Example from Computational Risk Management. Risks, 2020,8(47):47. (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks8020047.

Our news journalists report that additional information may be obtained by contacting Marius Hofert, Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, ON N2L 3G1, Canada.

(Our reports deliver fact-based news of research and discoveries from around the world.)