English, Article, Journal or magazine article edition: Stochastic Generalized Gradient Method with Application to Insurance Risk Management. Y.M. Ermoliev; V.I. Norkin

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Bookmark: http://trove.nla.gov.au/version/138257
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Stochastic Generalized Gradient Method with Application to Insurance Risk Management.
Author
  • Y.M. Ermoliev
  • V.I. Norkin
Physical Description
  • preprint
Notes
  • 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).
  • RePEc:wop:iasawp:ir97021
Language
  • English
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