Risk-Reshaping Contracts and Stochastic Optimization

Pflug GC (1996). Risk-Reshaping Contracts and Stochastic Optimization. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-96-142

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Abstract

Insurance contracts and lotteries are just the opposite sides of the same coin: These are contracts, which allow to reshape an uncertain financial position by exchanging risks between two contractors. In this paper, we discuss some basic problems of operations research which are connected with such kind of contracts.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Risk, Modeling, Policy (RMP)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:07
Last Modified: 19 Jul 2016 17:33
URI: http://pure.iiasa.ac.at/4886

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