Stochastic Sensitivity Study for Optimal Credit allocationReport as inadecuate

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* Corresponding author 1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires 2 LMR - Laboratoire de Mathématiques de Reims Reims

Abstract : In this paper we present the detail computations involved in: Bernis, G.; Carassus, L.; Docq, G. and S. Scotti 2013, Optimal Credit Allocation under Regime Uncertainty with Sensitivity Analysis. First we propose a quick presentation of the methodology developed by Bouleau. Then, we apply this method to the problem of optimal credit allocation problem.

Author: Laurence Carassus - Simone Scotti -



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