Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2022

Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation

Achraf Tamtalini
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Anis Matoussi
Sarah Kaakai

Résumé

We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class of risk measures verifies the desirable properties such as convexity, monotonocity and cash invariance. We also address numerical aspects of their computations using stochastic algorithms instead of using Monte Carlo or Fourier methods that do not provide any error of the estimation.
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Dates et versions

hal-03817818 , version 1 (24-10-2022)
hal-03817818 , version 2 (25-11-2022)

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Achraf Tamtalini, Anis Matoussi, Sarah Kaakai. Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation. 2022. ⟨hal-03817818v1⟩
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