Discounted maximum of a random number of random cash flows in optimal decision making

DOI10.1080/02522667.2008.10699860MaRDI QIDQ3604305zbMATH OpenOpenAlexFDO

Authors Constantinos Artikis, P. T. Artikis

Publication date 24 February 2009

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

Full work available at URL https://doi.org/10.1080/02522667.2008.10699860

zbMATH Keywords

extreme valueoptimal decisionstochastic discounting

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1082202 (Why is no real title available?)
• scientific article; zbMATH DE number 3338194 (Why is no real title available?)
• A generalized unimodality
• Bounds for present value functions with stochastic interest rates and stochastic volatility.
• Extreme Value Theory as a Risk Management Tool
• Incorporating a random number of independent competing risks in discounting a continuous uniform cash flow with rate of payment being a random sum
• Properties and applications in risk management operations of a stochastic discounting model
• Risk management operations described by a stochastic discounting model incorporating a random sum of cash flows and a random maximum of recovery times

Cited in

(8)

• 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 a random number of independent competing risks in discounting a continuous uniform cash flow with rate of payment being a random sum
• Risk management operations described by a stochastic discounting model incorporating a random sum of cash flows and a random maximum of recovery times
• Comparison of Random Cash Flows
• Analytical and simulation techniques for discounting binomial random sums
• Properties and management applications of a modified stochastic discounting model
• Incorporating concepts of extreme value theory in formulating a discounting model for making optimal decisions in competing risks management

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