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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
Published/Copyright:
March 12, 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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Articles in the same Issue
- 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
Keywords for this article
multivariate risk processes;
risk indicators;
stochastic algorithms;
reserve allocation
Articles in the same Issue
- 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
