Probability Bound Analysis for Dependence Uncertainty in Risk and Decision Models (opens in new tab)

Risk and decision models often combine sparse marginal information, precisely specified probability distributions, and dependence assumptions that are only partly justified. Probability bound analysis (PBA) represents epistemic uncertainty through probability boxes, but many applications assume independence or require dependence structures to be fully specified. We develop a dependence-sensitive PBA framework for black-box risk and decision mode...