Stochastic Sensitivity Study for Optimal Credit allocation
Résumé
In this paper we present the detail computations involved in: Bernis, G.; Carassus, L.; Docq, G. and S. Scotti (2013), Optimal Credit Allocation under Regime Uncertainty with Sensitivity Analysis. First we propose a quick presentation of the methodology developed by Bouleau. Then, we apply this method to the problem of optimal credit allocation problem.
Domaines
Probabilités [math.PR]| Origine | Fichiers produits par l'(les) auteur(s) |
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