Numerical techniques for stochastic optimization
Numerical techniques for stochastic optimization
The Minimization of Semicontinuous Functions: Mollifier Subgradients
SIAM Journal on Control and Optimization
Modelling extremal events: for insurance and finance
Modelling extremal events: for insurance and finance
On Some Actual Problems of Estimating Risk in Complex Systems under Insufficient Information
Cybernetics and Systems Analysis
Solution of Nonconvex Nonsmooth Stochastic Optimization Problems
Cybernetics and Systems Analysis
Method of Successive Approximations for Solving Integral Equations of the Theory of Risk Processes
Cybernetics and Systems Analysis
On measuring and profiling catastrophic risks
Cybernetics and Systems Analysis
Self-insurance of investor under repeating catastrophic risks
Cybernetics and Systems Analysis
Polyhedral coherent risk measures and investment portfolio optimization
Cybernetics and Systems Analysis
Catastrophe risk management for sustainable development of regions under risks of natural disasters
Cybernetics and Systems Analysis
On Markov stochastic processes with local interaction for solving some applied problems
Cybernetics and Systems Analysis
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Risk processes with rare dependent claims are studied. Problems of estimation of the small probability of bankruptcy and selection of an optimal portfolio of insurance contracts are considered. The Monte Carlo method and stochastic optimization technique are applied for their solution.