A provisioning problem with stochastic payments

DOI10.1016/j.ejor.2012.01.065zbMath1253.91202OpenAlexW2089339314MaRDI QIDQ1926876

Bernardo K. Pagnoncelli, Steven Vanduffel

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.01.065

zbMATH Keywords

risk managementcomonotonicitysample average approximationsolvency

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic programming (90C15) Financial applications of other theories (91G80)

Related Items (5)

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