top of page
  • Photo du rédacteurHélène Dufour

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms

" In this paper, we use stochastic algorithms schemes in estimating MSRM [market data based systemic risk measure] and prove that the resulting estimators are consistent and asymptotically normal. We also test numerically the performance of these algorithms on several examples."

Posts récents

Voir tout

Climate Risk, Insurance Retreat, and State Response

"Private businesses are making actuarial decisions, assessing that some locations are just too vulnerable to insure. At the same time, this insurance retreat also poses a policy challenge for states a


bottom of page