V. A. Gorelik, T. V. Zolotova, “General approach to modelling procedures of risk management and its application to stochastic hierarchical systems”, UBS, 37 (2012), 5

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Upravlenie Bol'shimi Sistemami, 2012, Issue 37, Pages 5–24 (Mi ubs592)

Systems Analysis

General approach to modelling procedures of risk management and its application to stochastic hierarchical systems

V. A. Gorelik^a, T. V. Zolotova^b

^a Computer Сenter n. a. A.A. Dorodnitsyn of the Russian Academy of Sciences
^b State University of the Ministry of Finance of the Russian Federation

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Abstract: The general model of risk management is suggested, which consists of two sub-models: the model of system efficiency estimation and that of risk estimation. The problems of management in stochastic systems, and also in complex hierarchical systems under internal uncertainty, are considered. The methods to find the solution for these problems are developed, which allow finding the optimum control strategy to balance efficiency and stability.

Keywords: uncontrollable factors, risk minimization, stochastic process, function of risk, hierarchy, the price of anarchy.

Document Type: Article

UDC: 517.977.5

BBC: 22.18

Language: Russian

Citation: V. A. Gorelik, T. V. Zolotova, “General approach to modelling procedures of risk management and its application to stochastic hierarchical systems”, UBS, 37 (2012), 5–24

Citation in format AMSBIB

\Bibitem{GorZol12}

\by V.~A.~Gorelik, T.~V.~Zolotova

\paper General approach to modelling procedures of risk management and its application to stochastic hierarchical systems

\jour UBS

\yr 2012

\vol 37

\pages 5--24

\mathnet{http://mi.mathnet.ru/ubs592}

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https://www.mathnet.ru/eng/ubs592

https://www.mathnet.ru/eng/ubs/v37/p5

Citing articles in Google Scholar: Russian citations, English citations
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