Optimal enterprise risk management and decision making with shared and dependent risks

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100  ‎$0‎MAPA20100003190‎$a‎Ai, Jing
24510‎$a‎Optimal enterprise risk management and decision making with shared and dependent risks‎$c‎Jing Ai, Patrick L. Brockett, TianyangWang
520  ‎$a‎Dynamic enterprise risk management (ERM) entails holistic decision making for critical corporate functions such as capital budgeting and risk management. The interplay across business divisions, however, is complicated due to their natural interactions through risk exposures that are shared and dependent across an intricate corporate structure. This article develops an integrated optimization framework via a copula-based decision tree interface to facilitate ERM decision making to meet the specified enterprise goal in a multiperiod setting. We illustrate our model and provide managerial insights with a case study for a financial services company engaged in both banking and insurance businesses.
650 4‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080536534‎$a‎ERM
650 4‎$0‎MAPA20090035034‎$a‎Modelización mediante cópulas
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎04/12/2017 Volumen 84 Número 4 - diciembre 2017 , p. 1127-1169