Author

Zhiyuan Luo

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Open access Sep 2026

Reliable value at risk estimation with conformal prediction

Value-at-Risk (VaR), the most widely used measure of market risk, is typically evaluated through backtesting of point forecasts. Such procedures, however, say little about the uncertainty of the estimated quantile. Existing interval methods are each tied to a specific model class and fail when its underlying assumption...

Milo Ivancevic, K. Nguyen, Zhi-Yuan Luo · Risk Management · 0 citations

Review Open access Aug 2026

Uncertainty-aware large language models: a scoping review of conformal prediction methods.

In recent years, there has been growing interest in applying conformal prediction (CP) to large language models (LLMs) across diverse domains to enhance the trustworthiness of their predictions. However, the literature still lacks a comprehensive survey of this rapidly emerging area. Thus, to fill this gap, this articl...

Alice E. Ashby, Khuong An Nguyen, Zhiyuan Luo · Philosophical transactions.... · 1 citation