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<p>We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation method (SAA) applied to this problem, and we also exhibit a convergence rate and discuss the uniqueness of the solution. These results provide (re)insurers with a practical approach to portfolio optimization under regulatory risk constraints.</p>

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Sample average approximation for portfolio optimization under CVaR constraint in a (re)insurance context

  • 期刊论文

  • 发表日期：

    2026年2月5日

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  • Jérôme Lelong,
  • Véronique Maume-Deschamps,
  • William Thevenot

摘要

We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation method (SAA) applied to this problem, and we also exhibit a convergence rate and discuss the uniqueness of the solution. These results provide (re)insurers with a practical approach to portfolio optimization under regulatory risk constraints.