Some aspects of decision making under uncertainty |
| |
Authors: | Ekaterina V. Bulinskaya |
| |
Affiliation: | Faculty of Mathematics and Mechanics, Moscow State University, GSP-2, 119992 Moscow, Russian Federation |
| |
Abstract: | 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. |
| |
Keywords: | Primary, 93E99 secondary, 91B30, 93C41, 62G30 |
本文献已被 ScienceDirect 等数据库收录! |
|