| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1016/j.insmatheco.2016.11.008 |
| Incorporating model uncertainty into optimal insurance contract design. | |
| Pflug G; Timonina-Farkas A; Hochrainer-Stigler S | |
| 发表日期 | 2017 |
| 出处 | Insurance: Mathematics and Economics 73: 68-74 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | In stochastic optimization models, the optimal solution heavily depends on the selected probability model for the scenarios. However, the scenario models are typically chosen on the basis of statistical estimates and are therefore subject to model error. We demonstrate here how the model uncertainty can be incorporated into the decision making process. We use a nonparametric approach for quantifying the model uncertainty and a minimax setup to find model-robust solutions. The method is illustrated by a risk management problem involving the optimal design of an insurance contract. |
| 主题 | Risk & ; Resilience (RISK) ; Risk, Policy and Vulnerability (RPV) |
| URL | http://pure.iiasa.ac.at/id/eprint/14272/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/130964 |
| 推荐引用方式 GB/T 7714 | Pflug G,Timonina-Farkas A,Hochrainer-Stigler S. Incorporating model uncertainty into optimal insurance contract design.. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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