Problems on Insurance of Catastrophic Risks
Cybernetics and Systems Analysis
On Some Actual Problems of Estimating Risk in Complex Systems under Insufficient Information
Cybernetics and Systems Analysis
Reliability Analysis of Systems Described by Fault Trees with Efficiency
Cybernetics and Systems Analysis
The Class of Polyhedral Coherent Risk Measures
Cybernetics and Systems Analysis
Optimization with multivariate stochastic dominance constraints
Mathematical Programming: Series A and B
Self-insurance of investor under repeating catastrophic risks
Cybernetics and Systems Analysis
Polyhedral coherent risk measures and investment portfolio optimization
Cybernetics and Systems Analysis
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An approach to decision-making under catastrophic risks based on risk profiling is proposed. The approach assumes, for some selected catastrophic scenarios, to simulate their consequences (damage) as functions of control parameters and to impose expert constraints on acceptable levels of relative losses in such scenarios. The approach is illustrated by a number of one-stage decision-making problems reduced to mixed linear-programming problems.