Optimal Insurance Strategy Design in a Risk Process under Value-at-Risk Constraints on Capital Increments.
A. Yu. GolubinV. N. GridinPublished in: Autom. Remote. Control. (2020)
Keyphrases
- risk management
- design process
- optimal design
- conditional expectation
- operational risk
- risk assessment
- engineering design
- risk analysis
- high risk
- risk factors
- case study
- risk measures
- optimal strategy
- computer aided
- worst case
- dynamic programming
- objective function
- decision making
- conceptual model
- closed form
- fraud detection
- knowledge based systems
- decision support system
- early warning
- decision variables
- user interface
- risk neutral
- chance constraints