Stochastic Generalized Gradient Method with Application to Insurance Risk Management

Ermoliev YM & Norkin VI (1997). Stochastic Generalized Gradient Method with Application to Insurance Risk Management. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-97-021

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Abstract

Recently we analyzed important classes of nonsmooth and nonconvex risk control problems which can not be solved by standard optimization techniques. The aim of this article is to develop computational procedures enabling us to bypass some of the obstacles identified in this paper. We illustrate this by using insurance risk processes with insolvency (stopping time).

Item Type: Monograph (IIASA Interim Report)
Research Programs: Risk, Modeling, Policy (RMP)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:09
Last Modified: 30 Oct 2016 23:35
URI: http://pure.iiasa.ac.at/5270

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