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| HAL: hal-00517766, version 2 |
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| European Actuarial Journal 1, 1 (2011) 131-157 |
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| Available versions: | v1 (2010-09-16) | v2 (2011-06-17) |
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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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| Subject | : | Humanities and Social Sciences/Economies and finances Mathematics/Probability Mathematics/Statistics Statistics/Statistics Theory |
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| hal-00517766, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00517766 | |
| oai:hal.archives-ouvertes.fr:hal-00517766 | |
| From: Stéphane Loisel | |
| Submitted on: Monday, 13 June 2011 20:14:20 | |
| Updated on: Sunday, 28 October 2012 10:15:49 | |
