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| HAL : hal-00517766, version 2 |
| Fiche détaillée |  Récupérer au format |
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| European Actuarial Journal (2011) xxx-xxx |
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| Versions disponibles : | v1 (16-09-2010) | v2 (17-06-2011) |
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| Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management |
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| Matthieu Chauvigny 1Laurent Devineau 1, 2 |
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| (2011) |
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| For operational purposes, in Enterprise Risk Management or in insurance for example, it may be important to estimate remote (but not extreme) quantiles of some function ƒ of some random vector. The call to ƒ may be time- and resource-consuming so that one aims at reducing as much as possible the number of calls to ƒ. In this paper, we propose some ways to address this problem of general interest. We then numerically analyze the performance of the method on insurance and Enterprise Risk Management real-world case studies. |
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| 1 : | R&D Milliman |
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Milliman |
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| 2 : | Laboratoire de Sciences Actuarielle et Financière (SAF) |
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Université Claude Bernard - Lyon I : EA2429 |
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| Domaine | : | Sciences de l'Homme et Société/Economies et finances Mathématiques/Probabilités Mathématiques/Statistiques Statistiques/Théorie |
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| hal-00517766, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00517766 | |
| oai:hal.archives-ouvertes.fr:hal-00517766 | |
| Contributeur : Stéphane Loisel | |
| Soumis le : Lundi 13 Juin 2011, 20:14:20 | |
| Dernière modification le : Jeudi 23 Juin 2011, 14:29:15 | |
