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

Peggy Cenac (1) , Véronique Maume-Deschamps (2) , Clémentine Prieur (3)

1 IMB - Institut de Mathématiques de Bourgogne [Dijon]
2 SAF - Laboratoire de Sciences Actuarielle et Financière
3 LJK - Laboratoire Jean Kuntzmann

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 optimal reserve allocation.

Mots clés: Multivariate risk processes; Risk indicators; Stochastic algorithms; Optimal allocation

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Peggy Cenac, Véronique Maume-Deschamps, Clémentine Prieur. Some multivariate risk indicators; minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm.. 2010. ⟨hal-00484233v1⟩