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Avtomatika i Telemekhanika, 2019, Issue 7, Pages 105–121
DOI: https://doi.org/10.1134/S0005231019070043 (Mi at15301) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Intellectual Control Systems, Data Analysis

Risk management in hierarchical games with random factors

M. A. Gorelov

Federal Research Center for Computer Science and Control, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (657 kB) Citations (3)
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DOI: https://doi.org/10.1134/S0005231019070043
Abstract: A game-theoretic model of the Principal-agent type is considered, in which the result of an agent’s activity depends not only on his/her choice but also on some random factor. The Principal is assumed to choose the total probability of all negative events that he/she will exclude from consideration; in the other respects, he/she is cautious. The structure of the Principal’s optimal strategies is found. Two models differing by the Principal’s awareness of the partner’s actions are studied.
Keywords: theory of decision making, hierarchical systems, risk management, games with random factors, Value at Risk.
Presented by the member of Editorial Board: M. V. Goubko

Received: 13.09.2018
Revised: 31.01.2019
Accepted: 07.02.2019
English version:
Automation and Remote Control, 2019, Volume 80, Issue 7, Pages 1265–1278
DOI: https://doi.org/10.1134/S000511791907004X
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. A. Gorelov, “Risk management in hierarchical games with random factors”, Avtomat. i Telemekh., 2019, no. 7, 105–121; Autom. Remote Control, 80:7 (2019), 1265–1278
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2019/i7/p105
    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Avtomatika i Telemekhanika
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    References:58
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