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Strategic risk management using stochastic programming

  • Avner Friedman
Part of the The IMA Volumes in Mathematics and its Applications book series (IMA, volume 100)

Abstract

Strategic risk management concerns actions and policies that control the impact of uncertainties over a relatively long time horizon: Manufacturers must weigh the uncertainties involved in building a new facility that may take five years to bring into production; insurance companies must allocate underwriting flows among asset categories to take into account the possible impact of a bad hurricane season sometime in the next few years, etc.

Keywords

Sample Path Stochastic Programming Scenario Tree Dynamic Programming Approach Asset Category 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1998

Authors and Affiliations

  • Avner Friedman
    • 1
  1. 1.Institute for Mathematics and its ApplicationsUniversity of MinnesotaMinneapolisUSA

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