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Error bounds for rank constrained optimization problems and applications

Bi, Shujun; Pan, Shaohua - In: Operations research letters 44 (2016) 3, pp. 336-341

Persistent link: https://www.econbiz.de/10011506076

Higher-order total variation bounds for expectations of periodic functions and simple integer recourse approximations

Laan, Niels van der; Romeijnders, Ward; Vlerk, Maarten … - In: Computational Management Science : CMS 15 (2018) 3/4, pp. 325-349

Persistent link: https://www.econbiz.de/10011922951

Robust dual dynamic programming

Georghiou, Angelos; Tsoukalas, Angelos; Wiesemann, Wolfram - In: Operations research 67 (2019) 3, pp. 813-830

Persistent link: https://www.econbiz.de/10012040291

A primal-dual lifting scheme for two-stage robust optimization

Georghiou, Angelos; Tsoukalas, Angelos; Wiesemann, Wolfram - In: Operations research 68 (2020) 2, pp. 572-590

Persistent link: https://www.econbiz.de/10012213388

Ruin probability approximations in sparre andersen models with completely monotone claims

Albrecher, Hansjörg; Vatamidou, Eleni - In: Risks : open access journal 7 (2019) 4/104, pp. 1-14

We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with rational Laplace transform. We construct error bounds for the ruin probability based on the Pollaczek-Khintchine formula, and develop an efficient algorithm to approximate the ruin...

Persistent link: https://www.econbiz.de/10012127948