This paper studies the problem of finding best-possible upper bounds on a rich class of risk measures, expressible as integrals with respect to measures, under incomplete probabilistic information. Both univariate and multivariate risk measurement problems are considered. The extremal probability distributions, generating the worst case scenarios, are also identified. The problem of worst case ...

The values of a two-player zero-sum binary discounted game are characterized by a P-matrix linear complementarity problem (LCP). Simple formulas are given to describe the data of the LCP in terms of the game graph, discount factor, and rewards. Hence it is shown that the unique sink orientation (USO) associated with this LCP coincides with the strategy valuation USO associated with the discount...

In life-cycle costing analyses, optimal design is usually achieved by minimising the expected value of the discounted costs. As well as the expected value, the corresponding variance may be useful for estimating, for example, the uncertainty bounds of the calculated discounted costs. However, general explicit formulas for calculating the variance of the discounted costs over an unbounded time h...

In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent risk process in which the claim occurrence and the claim amount are regulated by an external discrete time Markov chain. A system of integrodifferential equations with boundary conditions satisfied by the moment-generating function, the nth moment of the discounted dividend payments prior to absolute ruin...

In 3 studies, participants made choices between hypothetical financial, environmental, and health gains and losses that took effect either immediately or with a delay of 1 or 10 years. In all 3 domains, choices indicated that gains were discounted more than losses. There were no significant differences in the discounting of monetary and environmental outcomes, but health gains were discounted m...

The expected discounted penalty with downside jumps has been extensively studied in Gerber and Shiu(1998), Gerber and Landry(1998), Tsai and Wilmott(2002) and others. In this paper, we study the expected discounted penalty in a perturbed compound Poisson model with two sided jumps. We show that it is always twice continuously differentiable provided that the jump size distribution has a bounded...

One of the recurring themes in the theory of stochastic games is the interplay between discounted games and mean-payoff games. This culminates in the seminal paper of Mertens and Neyman [12] showing that mean-payoff games have a value and this value is the limit of the values of discounted games when the discount factor tends to 1. Note however that optimal strategies in both games are very dif...

We consider N-stage serial production/distribution systems with stationary demand at the most downstream stage. First, we study classical Clark-Scarf model with both average cost and discounted cost criteria. The optimal echelon base-stock levels are obtained in terms of only probabilistic distributions of leadtime demand. This analysis yields a novel approach for developing bounds and simple h...

OBJECTIVE To determine the cost-effectiveness of secondary prevention with pravastatin in Hong Kong patients with coronary heart disease and average cholesterol levels. DESIGN Cost-effectiveness analysis based on published results of the CARE study. PATIENTS Men and women post-myocardial infarction with average cholesterol levels. MAIN OUTCOME MEASURES Cost-effectiveness analysis: cost pe...