Expert judgement for dependence in probabilistic modelling: A systematic literature review and future research directions

Abstract

Many applications in decision making under uncertainty and probabilistic risk assessment require the assessment of multiple, dependent uncertain quantities, so that in addition to marginal distributions, interdependence needs to be modelled in order to properly understand the overall risk. Nevertheless, relevant historical data on dependence information are often not available or simply too costly to obtain. In this case, the only sensible option is to elicit this uncertainty through the use of expert judgements. In expert judgement studies, a structured approach to eliciting variables of interest is desirable so that their assessment is methodologically robust. One of the key decisions duri..