Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm - Archive ouverte HAL
Article Dans Une Revue Statistics & Risk Modeling with Applications in Finance and Insurance Année : 2012

Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm

Résumé

We consider some risk indicators of vectorial risk processes. These indicators take into account the dependencies between business lines as well as some temporal dependencies. By using stochastic algorithms, we may estimate the minimum of these risk indicators, under a fixed total capital constraint. This minimization may apply to optimal reserve allocation.
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Dates et versions

hal-00484233 , version 1 (19-05-2010)
hal-00484233 , version 2 (05-12-2011)

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Citer

Peggy Cenac, Véronique Maume-Deschamps, Clémentine Prieur. Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm. Statistics & Risk Modeling with Applications in Finance and Insurance, 2012, 29 (1), pp.47-72. ⟨10.1524/strm.2012.1069⟩. ⟨hal-00484233v2⟩
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