S-convex extrema,Taylor-type expansions and stochastic approximations
(2000)
Files
dp0006.pdf
Open Access - Adobe PDF
- 290.78 KB
Details
- Authors
- Abstract
- This paper aims to further investigate the structure of the s-convex stochastic extrema. The present study is based on a remarkable probabilistic generalization of Taylor’s theo- rem obtained by Lin (1994). Two methods for approximating a given risk with the aid of the s-convex extremal distributions are then proposed. The goodness of these stochastic approximations is asserted using stop-loss distances.
- Affiliations
Citations
Denuit, M. (2000). S-convex extrema,Taylor-type expansions and stochastic approximations (STAT Discussion Paper 0006). https://hdl.handle.net/2078.5/32806