A stochastic model for proactive risk management decisions

The analysis of stochastic discounting models provides one of the more powerful tools available for decision-making under conditions of uncertainty. This paper is mainly devoted to the establishment of properties and applications of a particular stochastic discounting model. More precisely, the pape...

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Bibliographic Details
Published in:Mathematical and computer modelling 1997-10, Vol.26 (7), p.87-95
Main Authors: Artikis, T., Jerwood, D., Moshakis, J., Voudouri, A.
Format: Article
Language:English
Subjects:
Risk management
Stochastic discounting
Unimodality
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Summary:The analysis of stochastic discounting models provides one of the more powerful tools available for decision-making under conditions of uncertainty. This paper is mainly devoted to the establishment of properties and applications of a particular stochastic discounting model. More precisely, the paper investigates some of the theoretical problems encountered in a stochastic discounting model when assessing mutually exclusive options, and establishes the advantages of considering risk retention in proactive risk-management programs.
ISSN:0895-7177
1872-9479
DOI:10.1016/S0895-7177(97)00187-8