Some aspects of decision making under uncertainty

被引:4
作者
Bulinskaya, Ekaterina V. [1 ]
机构
[1] Moscow MV Lomonosov State Univ, Fac Math & Mech, Moscow 119992, Russia
基金
俄罗斯基础研究基金会;
关键词
input-output models; asymptotically optimal control; insurance; dynamic programming; stability; empirical measures;
D O I
10.1016/j.jspi.2006.05.015
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Two discrete-time insurance models are studied in the framework of cost approach. The models being non-deterministic one deals with decision making under uncertainty. Three different situations are investigated: (1) underlying processes are stochastic however their probability distributions are given; (2) information concerning the distribution laws is incomplete; (3) nothing is known about the processes under consideration: Mathematical methods useful for establishing the (asymptotically) optimal control are demonstrated in each case. Algorithms for calculation of critical levels are proposed. Numerical results are presented as well. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码:2613 / 2632
页数:20
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