Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm
From MaRDI portal
Publication:3224136
DOI10.1524/STRM.2012.1069zbMATH Open1234.91004OpenAlexW2081637650MaRDI QIDQ3224136FDOQ3224136
Véronique Maume-Deschamps, Clémentine Prieur, Peggy Cénac
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
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)
This page was built for publication: Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3224136)
