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Adversarial Stress Testing of Lifetime Distributions
arXiv - CS - Computer Science and Game Theory Pub Date : 2020-03-27 , DOI: arxiv-2003.12587
Nozer Singpurwalla

In this paper we put forward the viewpoint that the notion of stress testing financial institutions and engineered systems can also be made viable appropos the stress testing an individual's strength of conviction in a probability distribution. The difference is interpretation and perspective. To make our case we consider a game theoretic setup entailing two players, an adversarial C, and an amicable M.The underlying metrics entail a de Finetti style 2 sided bet with asymmetric payoffs as a way to give meaning to lifetime distributions, an adversarial stress testing function, and a maximization of the expected utility of betting scores via the Kullback Liebler discrimination.

中文翻译:

生命周期分布的对抗性压力测试

在本文中,我们提出了这样的观点,即压力测试金融机构和工程系统的概念也可以适用于在概率分布中对个人的信念强度进行压力测试。区别在于解释和视角。为了说明我们的情况,我们考虑了一个博弈论设置,需要两个玩家、一个对抗性 C 和一个友好的 M。底层指标需要 de Finetti 风格的 2 面赌注和不对称的回报,作为赋予生命周期分布意义的一种方式,对抗性压力测试函数,以及通过 Kullback Liebler 判别最大化投注分数的预期效用。
更新日期:2020-03-31
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