Incorporating concepts of extreme value theory in formulating a discounting model for making optimal decisions in competing risks management
From MaRDI portal
Publication:3078179
DOI10.1080/09720502.2010.10700683zbMath1208.91059OpenAlexW1965067261MaRDI QIDQ3078179
Constantinos Artikis, Kostas A. Agorastos, Panagiotis T. Artikis
Publication date: 18 February 2011
Published in: Journal of Interdisciplinary Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/09720502.2010.10700683
Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Management decision making, including multiple objectives (90B50)
Related Items
Stochastic discounting for cost effective replacements of systems under competing catastrophic risks
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bounds for present value functions with stochastic interest rates and stochastic volatility.
- Incorporating a random number of independent competing risks in discounting a continuous uniform cash flow with rate of payment being a random sum
- Extreme Value Theory as a Risk Management Tool