Patent Document ID: 9430740
Application ID: 14635316
Patent Flag: 1

Claim One:
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: Pr ⁡ ( X > x ) = ∑ i ⁢ : ⁢ ⁢ v i > x ⁢ ⁢ p i ; wherein: Pr is a probability; X is a random variable; v i (i=1,. .. , n) is a value of each of said plurality of states transitionable from said state of a present object; and p i (i=1,. .. , n) is a transition probability of each of said plurality of states transitionable from said state of said present object; and 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.