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

Abstract : 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.
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Peggy Cenac, Véronique Maume-Deschamps, Clémentine Prieur. Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm. Statistics & Risk Modeling with Applications in Finance and Insurance, De Gruyter, 2012, 29 (1), pp.47-72. ⟨10.1524/strm.2012.1069⟩. ⟨hal-00484233v2⟩

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