Patent ID: 9430740
Filing Date: 2016-08-30
CPC Classification: G06N,G06Q

Claim Text:
1. A method for computing an iterated risk measure, the method comprising the steps of: generating sequentially, by way of a Markov decision process based on a Monte Carlo method, a series of data objects having states on a memory of a computer; computing a risk measure of a data object by tracking generated data from opposite order to generation order, wherein said risk measure is calculated from a value at risk or an exceedance probability that is derived from risk measures of a plurality of states transitionable from a state of said data object, said computing a risk measure comprises computing: wherein: Pr is a probability; X is a random variable; v p executing said step of computing said risk measure while tracking back to starting data, wherein at least one of the steps is carried out using a computer device.