Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm - Archive ouverte HAL Accéder directement au contenu
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.
Fichier principal
Vignette du fichier
estim_risk040411.pdf (946.49 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

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

Identifiants

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⟩
406 Consultations
334 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More