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Complex risk statistics with scenario analysis

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  • Fei Sun
  • Yichuan Dong

Abstract

Complex risk is a critical factor for both intelligent systems and risk management. In this paper, we consider a special class of risk statistics, named complex risk statistics. Our result provides a new approach for addressing complex risk, especially in deep neural networks. By further developing the properties related to complex risk statistics, we are able to derive dual representation for such risk.

Suggested Citation

  • Fei Sun & Yichuan Dong, 2020. "Complex risk statistics with scenario analysis," Papers 2003.09255, arXiv.org, revised Nov 2020.
    • Handle: RePEc:arx:papers:2003.09255
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    References listed on IDEAS

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