Pagnoncelli, Bernardo K.; Vanduffel, Steven - In: European Journal of Operational Research 221 (2012) 2, pp. 445-453
We consider the problem of determining the minimal requirement one must establish in order to meet a series of future random payments. It is shown in a very general setting that this problem can be recast as a chance constrained model and how the technique of Sample Average Approximation can be...