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Quantitative Risk Management Techniques using Interval Analysis, with Applications to Finance and Insurance
Keywords
Risk management, Optimization, Uncertainty, Interval analysis
Abstract
In this paper we study some risk management techniques using optimization problems under uncertainty. In decision making problems under uncertainty, the parameters of the models used can not be exactly described by real numbers, because of the imprecision of the data. In order to overcome this drawback the uncertainty of the parameters can be modeled by using interval numbers and interval random variables. Concepts of interval analysis are introduced in this article. Computational results are provided.
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