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A finite mixture modelling perspective for combining experts’ opinions with an application to quantile-based risk measures

Author

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  • Makariou, Despoina
  • Barrieu, Pauline
  • Tzougas, George

Abstract

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.

Suggested Citation

  • Makariou, Despoina & Barrieu, Pauline & Tzougas, George, 2021. "A finite mixture modelling perspective for combining experts’ opinions with an application to quantile-based risk measures," LSE Research Online Documents on Economics 110763, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:110763
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    File URL: http://eprints.lse.ac.uk/110763/
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    References listed on IDEAS

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    More about this item

    Keywords

    opinion pooling; finite mixture models; expectation maximization algorithm; quantile-based risk measures; Internal OA fund;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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