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Statistics & Risk Modeling

with Applications in Finance and Insurance

Editor-in-Chief: Stelzer, Robert


Cite Score 2018: 0.85

SCImago Journal Rank (SJR) 2018: 0.354
Source Normalized Impact per Paper (SNIP) 2018: 0.604

Mathematical Citation Quotient (MCQ) 2017: 0.32

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2196-7040
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Volume 29, Issue 1

Issues

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

P. Cénac / V. Maume-Deschamps / C. Prieur
Published Online: 2012-03-12 | DOI: https://doi.org/10.1524/strm.2012.1069

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

About the article

* Correspondence address: Université de Bourgogne, IMB UMR 5584 CNRS, 9 rue Alain Savary - BP 47870, 21078 DIJON CEDEX, Frankreich,


Published Online: 2012-03-12

Published in Print: 2012-03-01


Citation Information: Statistics & Risk Modeling with Applications in Finance and Insurance, Volume 29, Issue 1, Pages 47–72, ISSN (Print) 2193-1402, DOI: https://doi.org/10.1524/strm.2012.1069.

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[1]
Véronique Maume-Deschamps, Didier Rullière, and Khalil Said
Methodology and Computing in Applied Probability, 2017, Volume 19, Number 2, Page 395
[2]
V. Maume-Deschamps, D. Rullière, and K. Said
European Actuarial Journal, 2016, Volume 6, Number 1, Page 177

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