Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with...

The Orienteering Problem (OP) is a generalization of the well-known traveling salesman problem and has many interesting applications in logistics, tourism and defense. To reflect real-life situations, we focus on an uncertain variant of the OP. Two main approaches that deal with optimization...

In recent years, the issue of water allocation among competing users has been of great concern for many countries due to increasing water demand from population growth and economic development. In water management systems, the inherent uncertainties and their potential interactions pose a...

The problem of comparing random vectors arises in many applications. We propose three new concepts of stochastically weighted dominance for comparing random vectors X and Y. The main idea is to use a random vector V to scalarize X and Y as VTX and VTY, and subsequently use available concepts...

Service network design under uncertainty is fundamentally crucial for all freight transportation companies. The main challenge is to strike a balance between two conflicting objectives: low network setup costs and low expected operational costs. Together these have a significant impact on the...

In this paper, we propose a framework for selecting a high quality global optimal solution for discrete stochastic optimization problems with a predetermined confidence level using general random search methods. This procedure is based on performing the random search algorithm several...

This article first presents several formulas of chance distributions for trapezoidal fuzzy random variables and their functions, then develops a new class of chance model (C-model for short) about data envelopment analysis (DEA) in fuzzy random environments, in which the inputs and outputs are...

In this paper a fuzzy dynamic Nash game model of interactions between water users in a reservoir system is presented. The model represents a fuzzy stochastic non-cooperative game in which water users are grouped into four players, where each player in game chooses its individual policies to...