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

Cénac P., Maume-Deschamps V. and Prieur C.
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Maume-Deschamps V.: Universit´e Lyon 1, Laboratoire SAF EA 2429, LYON CEDEX 7, Frankreich
Prieur C.: Universite Joseph Fourier, Tour IRMA, MOISE-LJK, Grenoble Cedex 9, Frankreich

Statistics & Risk Modeling, 2012, vol. 29, issue 1, 47-72

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.

Keywords: multivariate risk processes; risk indicators; stochastic algorithms; reserve allocation (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1524/strm.2012.1069

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