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A Finite Mixture Modelling Perspective for Combining Experts’ Opinions with an Application to Quantile-Based Risk Measures
Risks ( IF 2.0 ) Pub Date : 2021-06-09 , DOI: 10.3390/risks9060115
Despoina Makariou , Pauline Barrieu , George Tzougas

The key purpose of this paper is to present an alternative viewpoint for combining expert opinions based on finite mixture models. Moreover, we consider that the components of the mixture are not necessarily assumed to be from the same parametric family. This approach can enable the agent to make informed decisions about the uncertain quantity of interest in a flexible manner that accounts for multiple sources of heterogeneity involved in the opinions expressed by the experts in terms of the parametric family, the parameters of each component density, and also the mixing weights. Finally, the proposed models are employed for numerically computing quantile-based risk measures in a collective decision-making context.

中文翻译:

将专家意见与基于分位数风险度量的应用相结合的有限混合建模视角

本文的主要目的是提出一种基于有限混合模型结合专家意见的替代观点。此外,我们认为混合物的成分不一定来自相同的参数族。这种方法可以使代理以灵活的方式对不确定的兴趣量做出明智的决定,该方式考虑了专家在参数族、每个组件密度的参数方面表达的意见所涉及的多个异质性来源。还有混合权重。最后,所提出的模型用于在集体决策背景下数值计算基于分位数的风险度量。
更新日期:2021-07-27
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