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

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...

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Veröffentlicht in:	Statistics & risk modeling 2012-03, Vol.29 (1), p.47-72
Hauptverfasser:	Cénac, P., Maume-Deschamps, V., Prieur, C.
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics multivariate risk processes reserve allocation risk indicators Statistics Statistics Theory stochastic algorithms
Online-Zugang:	Volltext
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