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

Abstract 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 capital reserve allocation.

MoreLess

Year of publication:	2012
Authors:	Cénac, P. ; Maume-Deschamps, V. ; Prieur, C.
Published in:	Statistics & Risk Modeling. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2193-1402, ZDB-ID 2630803-4. - Vol. 29.2012, 1, p. 47-72
Publisher:	Oldenbourg Wissenschaftsverlag GmbH
Subject:	multivariate risk processes \| risk indicators \| stochastic algorithms \| reserve allocation

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Language:	Undetermined
Other identifiers:	10.1524/strm.2012.1069 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014622215