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Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm
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P. Cénac
Veröffentlicht/Copyright:
12. März 2012
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.
Published Online: 2012-03-12
Published in Print: 2012-03
© by Oldenbourg Wissenschaftsverlag, DIJON CEDEX, Germany
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Artikel in diesem Heft
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- PCA-kernel estimation
- Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm
- Ordering of multivariate risk models with respect to extreme portfolio losses
Schlagwörter für diesen Artikel
multivariate risk processes;
risk indicators;
stochastic algorithms;
reserve allocation
Artikel in diesem Heft
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- PCA-kernel estimation
- Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm
- Ordering of multivariate risk models with respect to extreme portfolio losses
