Stochastic Generalized Gradient Method with Application to Insurance Risk Management

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/4396 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/4396 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/4396 archive 351 disk0/00/00/52/70 2016-01-15 02:09:05 2021-08-27 17:16:07 2016-01-15 02:09:05 monograph show 2 Ermoliev Y.M. 1445 Norkin V.I. AL1055 Stochastic Generalized Gradient Method with Application to Insurance Risk Management pub iis_met iis_rsk prog_rmp 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). 1997-04 published IR-97-021 IR-97-021 338 2245 public interim_report IIASA, Laxenburg, Austria 21 FALSE info:eu-repo/semantics/book