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

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
<record>
<leader>00000cab a2200000 4500</leader>
<controlfield tag="001">MAP20180000171</controlfield>
<controlfield tag="003">MAP</controlfield>
<controlfield tag="005">20180111134524.0</controlfield>
<controlfield tag="008">180109e20171204esp|||p |0|||b|spa d</controlfield>
<datafield tag="040" ind1=" " ind2=" ">
<subfield code="a">MAP</subfield>
<subfield code="b">spa</subfield>
<subfield code="d">MAP</subfield>
</datafield>
<datafield tag="084" ind1=" " ind2=" ">
<subfield code="a">7</subfield>
</datafield>
<datafield tag="100" ind1=" " ind2=" ">
<subfield code="0">MAPA20100003190</subfield>
<subfield code="a">Ai, Jing</subfield>
</datafield>
<datafield tag="245" ind1="1" ind2="0">
<subfield code="a">Optimal enterprise risk management and decision making with shared and dependent risks</subfield>
<subfield code="c">Jing Ai, Patrick L. Brockett, TianyangWang</subfield>
</datafield>
<datafield tag="520" ind1=" " ind2=" ">
<subfield code="a">Dynamic 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.</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2="4">
<subfield code="0">MAPA20080591182</subfield>
<subfield code="a">Gerencia de riesgos</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2="4">
<subfield code="0">MAPA20080579258</subfield>
<subfield code="a">Cálculo actuarial</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2="4">
<subfield code="0">MAPA20080536534</subfield>
<subfield code="a">ERM</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2="4">
<subfield code="0">MAPA20090035034</subfield>
<subfield code="a">Modelización mediante cópulas</subfield>
</datafield>
<datafield tag="773" ind1="0" ind2=" ">
<subfield code="w">MAP20077000727</subfield>
<subfield code="t">The Journal of risk and insurance</subfield>
<subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
<subfield code="x">0022-4367</subfield>
<subfield code="g">04/12/2017 Volumen 84 Número 4 - diciembre 2017 , p. 1127-1169</subfield>
</datafield>
</record>
</collection>