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

DOI10.1524/STRM.2012.1069zbMATH Open1234.91004OpenAlexW2081637650MaRDI QIDQ3224136FDOQ3224136

Authors: Peggy Cénac, Véronique Maume-Deschamps, Clémentine Prieur 

Publication date: 29 March 2012

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/strm.2012.1069

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zbMATH Keywords

stochastic algorithmsrisk indicatorsmultivariate risk processesreserve allocation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Stochastic approximation (62L20) Stochastic programming (90C15)

Cites Work

• Coherent measures of risk
• Learning by mirror averaging
• Acceleration of Stochastic Approximation by Averaging
• Asymptotic Almost Sure Efficiency of Averaged Stochastic Algorithms
• A Stochastic Approximation Method
• Primal-dual subgradient methods for convex problems
• Robust Stochastic Approximation Approach to Stochastic Programming
• Stochastic Estimation of the Maximum of a Regression Function
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
• Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions
• Recursive aggregation of estimators by the mirror descent algorithm with averaging
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On some measures of the severity of ruin in the classical Poisson model
• Differentiation of some functionals of risk processes, and optimal reserve allocation

Cited In (2)

• On a capital allocation by minimization of some risk indicators
• Impact of dependence on some multivariate risk indicators

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