Cover Image

Assessing solution quality in risk-averse stochastic programs

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	van Beesten, E. Ruben, Koning, Nick W., Morton, David P.
Format:	Preprint
Published:	2024
Subjects:	Optimization and Control Risk Management 90C15, 91B05
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Quantifying the degree of risk aversion of spectral risk measures
by: van Beesten, E. Ruben
Published: (2024)

Minimizing Spectral Risk Measures Applied to Markov Decision Processes
by: Bäuerle, Nicole, et al.
Published: (2020)

Randomized quasi-Monte Carlo methods for risk-averse stochastic optimization
by: Melnikov, Olena, et al.
Published: (2024)

Distributionally Robust Markov Decision Processes and their Connection to Risk Measures
by: Bäuerle, Nicole, et al.
Published: (2020)

Markov Decision Processes with Recursive Risk Measures
by: Bäuerle, Nicole, et al.
Published: (2020)

Systemic values-at-risk and their sample-average approximations
by: AlAli, Wissam, et al.
Published: (2024)

Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
by: Arratia, Argimiro, et al.
Published: (2025)

MDP modeling for multi-stage stochastic programs
by: Morton, David P., et al.
Published: (2025)

Robust optimal consumption, investment and reinsurance for recursive preferences
by: Dadzie, Elizabeth, et al.
Published: (2025)

On strategies for risk management and decision making under uncertainty shared across multiple fields
by: Gutfraind, Alexander
Published: (2023)

Multi-objective stochastic linear programming with recourse and flexible decision making
by: Hamel, Andreas H., et al.
Published: (2024)

On Accelerating Large-Scale Robust Portfolio Optimization
by: Hsieh, Chung-Han, et al.
Published: (2024)

Optimal risk mitigation by deep reinsurance
by: Arandjelović, Aleksandar, et al.
Published: (2024)

Estimating the errors for solutions of the SAA method to solve compound and risk averse stochastic programs
by: Kratschmer, Volker
Published: (2021)

Bounds for Distributionally Robust Optimization Problems
by: Tam, Brandon, et al.
Published: (2025)

Variable annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation
by: Alonso-Garcia, Jennifer, et al.
Published: (2025)

Can Nash inform capital requirements? Allocating systemic risk measures
by: Ararat, Çağın, et al.
Published: (2025)

A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks
by: Callegaro, Giorgia, et al.
Published: (2025)

Is Noisy Data a Blessing in Disguise? A Distributionally Robust Optimization Perspective
by: Hsieh, Chung-Han, et al.
Published: (2025)

Reallocating and Sharing Health Equipments in Sanitary Emergency Situations: The COVID-19 Case in Spain
by: Blanco, Víctor, et al.
Published: (2020)

Quantiles under ambiguity and risk sharing
by: Liu, Peng, et al.
Published: (2024)

Decision-Making Frameworks for Network Resilience -- Managing and Mitigating Systemic (Cyber) Risk
by: Svindland, Gregor, et al.
Published: (2023)

Fair Risk Optimization of Distributed Systems
by: Almen, Aray, et al.
Published: (2025)

An investigation of stochastic trust-region based algorithms for finite-sum minimization
by: Bellavia, Stefania, et al.
Published: (2024)

Dynamically Augmented CVaR for MDPs
by: Feinberg, Eugene A., et al.
Published: (2022)

MAD Risk Parity Portfolios
by: Ararat, Çağın, et al.
Published: (2021)

Higher-Order Ambiguity Attitudes
by: Aygün, Mücahit, et al.
Published: (2025)

A Rank-Dependent Theory for Decision under Risk and Ambiguity
by: Laeven, Roger J. A., et al.
Published: (2023)

Improved semidefinite programming bounds for the maximum $k$-colorable subgraph problem
by: Barkel, Mathijs, et al.
Published: (2026)

Optimal Insurance to Maximize Exponential Utility when Premium is Computed by a Convex Functional
by: Cao, Jingyi, et al.
Published: (2024)

General bounds on functionals of the lifetime under life table constraints in a joint actuarial-financial framework
by: Dupret, Jean-Loup, et al.
Published: (2026)

A novel k-generation propagation model for cyber risk and its application to cyber insurance
by: Ren, Na, et al.
Published: (2024)

Robust Utility Maximization with Intractable Claims under Distributional Ambiguity: A Random Distributionally Robust Optimization Approach
by: Guan, Guohui, et al.
Published: (2025)

On monotone completion of risk markets: Limit results for incomplete risk markets
by: Khajepour, Iman, et al.
Published: (2025)

Optimal Dividend, Reinsurance, and Capital Injection for Collaborating Business Lines under Model Uncertainty
by: Boonen, Tim J., et al.
Published: (2026)

Optimal Dividend, Reinsurance and Capital Injection Strategies for Collaborating Business Lines: The Case of Excess-of-Loss Reinsurance
by: Boonen, Tim J., et al.
Published: (2025)

Dynamic reinsurance via martingale transport
by: Acciaio, Beatrice, et al.
Published: (2026)

Optimal Dividend, Reinsurance, and Capital Injection Strategies for an Insurer with Two Collaborating Business Lines
by: Boonen, Tim J., et al.
Published: (2025)

A stochastic use of the Kurdyka-Lojasiewicz property: Investigation of optimization algorithms behaviours in a non-convex differentiable framework
by: Fest, Jean-Baptiste, et al.
Published: (2023)

Lagrangian cuts generated by batch to efficiently solve two-stage stochastic mixed-integer program
by: Xiaoyu, Luo, et al.
Published: (2024)