Stochastic Generalized Gradient Method with Application to Insurance Risk Management.
Recently we analyzed important classes of nonsmooth and nonconvex risk control problems which can not be solved by standard optimization techniques. The aim of this article is to develop computational procedures enabling us to bypass some of the obstacles identified in this paper. We illustrate this by using insurance risk processes with insolvency (stopping time).
Year of publication: |
1997-04
|
---|---|
Authors: | Ermoliev, Y.M. ; Norkin, V.I. |
Institutions: | International Institute for Applied Systems Analysis (IIASA) |
Saved in:
freely available
Saved in favorites
Similar items by person
-
On Convergence of the Sequential Joint Maximization Method for Applied Equilibrium Problems.
Ermoliev, Y.M., (1996)
-
On Optimal Allocation of Indivisibles Under Uncertainty.
Norkin, V.I., (1994)
-
On the Design of Catastrophic Risk Portfolios.
Ermoliev, Y.M., (1998)
- More ...