Simulation methods for robust risk assessment and the distorted mix approach
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Publication:2076947
Abstract: Uncertainty requires suitable techniques for risk assessment. Combining stochastic approximation and stochastic average approximation, we propose an efficient algorithm to compute the worst case average value at risk in the face of tail uncertainty. Dependence is modelled by the distorted mix method that flexibly assigns different copulas to different regions of multivariate distributions. We illustrate the application of our approach in the context of financial markets and cyber risk.
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Cited in
(5)- On the generalization of the hazard rate twisting-based simulation approach
- Evaluating risks using simulated annealing and building information modeling
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