A provisioning problem with stochastic payments

DOI10.1016/J.EJOR.2012.01.065MaRDI QIDQ1926876zbMATH OpenOpenAlexFDO

Authors 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

comonotonicityrisk managementsample average approximationsolvency

Mathematics Subject Classification ID

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

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• The value of an Asian option
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Cited in

(7)

• The hurdle-race problem.
• Comonotonic approximation to periodic investment problems under stochastic drift
• Risk and complexity in scenario optimization
• A simulation optimization approach for a two-echelon inventory system with service level constraints
• Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
• On Conditional Risk Assessments in Scenario Optimization
• Wait-and-judge scenario optimization

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