Strategic risk management using stochastic programming
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.
KeywordsSample Path Stochastic Programming Scenario Tree Dynamic Programming Approach Asset Category
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- A.J. King and R.J.-B. Wets, in preparation.Google Scholar