Recent work in the assessment of risk in maritime transportation systems has used simulation-based probabilistic risk … maritime risk assessments is to model the uncertainty in the simulation models used. In this article, a study of the impact of … simulation technique to model uncertainty in the assessment of maritime risk. However, Bayesian simulations have been implemented …

Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the … portfolio. In this work, we propose a numerical framework that uses only simulations of returns for estimating risk budgeting … Gradient Decent (SGD) algorithm, tailored to the risk budgeting portfolio for the Expected Shortfall. We illustrate different …