Robust insurance mechanisms and the shadow prices of information constraints

DOI10.1155/S1173912699000061zbMath0933.91018OpenAlexW1971171323MaRDI QIDQ1302369

Willem K. Klein Haneveld, Igor V. Evstigneev, Leonard J. Mirman

Publication date: 22 September 1999

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/120177

zbMATH Keywords

value of informationinsuranceriskdecision-making under uncertaintyrandom eventsconvex stochastic optimizationdecisionsstochastic Lagrange multipliers

Mathematics Subject Classification ID

Decision theory (91B06)

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