Stochastic discounting for cost effective replacements of systems under competing catastrophic risks

DOI10.1080/02522667.2011.10700046zbMath1218.91066OpenAlexW2094273876MaRDI QIDQ3020597

Kostas A. Agorastos, Constantinos Artikis, Panagiotis T. Artikis

Publication date: 4 August 2011

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: http://www.connectjournals.com/file_html_pdf/1018201H_08_JIOS_T28_32-1_pp109-120a.pdf

zbMATH Keywords

competing risksoptimal decisionsstochastic discounting model

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (1)

Competing risks driven by Mittag-Leffler distributions, under copula and time transformed exponential model

Cites Work

• Unnamed Item
• Unnamed Item
• Bounds for present value functions with stochastic interest rates and stochastic volatility.
• Incorporating concepts of extreme value theory in formulating a discounting model for making optimal decisions in competing risks management
• Properties and applications in risk management operations of a stochastic discounting model
• Incorporating a random number of independent competing risks in discounting a continuous uniform cash flow with rate of payment being a random sum
• Discounted maximum of a random number of random cash flows in optimal decision making
• Risk management operations described by a stochastic discounting model incorporating a random sum of cash flows and a random maximum of recovery times
• Extreme Value Theory as a Risk Management Tool

This page was built for publication: Stochastic discounting for cost effective replacements of systems under competing catastrophic risks