Geodesic
Models of monitoring and management of risk in Gaussian stochastic systems
Vestnik rossijskih universitetov. Matematika, Tome 23 (2018) no. 124, pp. 776-783
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The risk model of multidimensional stochastic systems is described. It is based on the hypothesis that the risk is characterized by probabilistic properties of components of multidimensional stochastic system which are used as risk factors. The case of the Gaussian stochastic systems is investigated. The model of risk monitoring allows to estimate the current risk of system and the contribution of all its components. Models of risk management are optimizing tasks. As the target functions the conditional minimum of risk and achievement of the given level by it can be used at minimum changes of probabilistic characteristics of the system.
Keywords: model, risk, stochastic system, random vector, monitoring, optimization.
Mots-clés : normal distribution 
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A. N. Tyrsin; A. A. Surina. Models of monitoring and management of risk in Gaussian stochastic systems. Vestnik rossijskih universitetov. Matematika, Tome 23 (2018) no. 124, pp. 776-783. http://geodesic.mathdoc.fr/item/VTAMU_2018_23_124_a20/

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