A provisioning problem with stochastic payments

作者：Pagnoncelli Bernardo K^*; Vanduffel Steven

来源：European Journal of Operational Research, 2012, 221(2): 445-453.

DOI：10.1016/j.ejor.2012.01.065

• Risk management
• Solvency
• Comonotonicity
• Sample Average Approximation

We consider the problem of determining the minimal requirement one must establish in order to meet a series of future random payments. It is shown in a very general setting that this problem can be recast as a chance constrained model and how the technique of Sample Average Approximation can be employed to find solutions. We also use comonotonic theory to analyze analytical approximations in a restricted Gaussian setting. Our numerical illustrations demonstrate that the Sample Average Approximation is a viable and efficient way to solve the stated problem generally and outperforms the analytical approximations. In passing we present a result that is related to Stein%26apos;s famous lemma (Stein, 1981) and is of interest in itself.

• 出版日期2012-9-1