A stochastic discounting model arising in competing risks management

DOI10.1016/S0898-1221(99)00205-9MaRDI QIDQ1963102zbMATH OpenFDO

Authors A. P. Voudouri, J. I. Moshakis, P. T. Artikis

Publication date 20 January 2000

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0898-1221(99)00205-9

zbMATH Keywords

decision makingself-decomposabilitystochastic discountingunimodality

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited in

(10)

• A stochastic model for proactive risk management decisions
• Bounds for present value functions with stochastic interest rates and stochastic volatility.
• Properties and management applications of a modified stochastic discounting model
• Stochastic discounting for cost effective replacements of systems under competing catastrophic risks
• Discounted minimum of a random number of random variables in replacement of computer systems
• 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
• Thinning of renewal processes in stochastic discounting models and risk frequency reduction operations
• Risk management operations described by a stochastic discounting model incorporating a random sum of cash flows and a random maximum of recovery times
• Properties and applications in risk frequency reduction operations of an integral part model

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