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Tractable risk sensitive control based on approximate expected utility

✍ Scribed by Douglas W. Mitchell


Book ID
116117388
Publisher
Elsevier Science
Year
1990
Tongue
English
Weight
339 KB
Volume
7
Category
Article
ISSN
0264-9993

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πŸ“œ SIMILAR VOLUMES


Optimal approximations for risk measures
✍ S. Vanduffel; X. Chen; J. Dhaene; M. Goovaerts; L. Henrard; R. Kaas πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 406 KB

In this paper we investigate the approximations for the distribution function of a sum S of lognormal random variables. These approximations are obtained by considering the conditional expectation E[S | Ξ›] of S with respect to a conditioning random variable Ξ›. The choice of Ξ› is crucial in order to