Risk Measures in Two-Stage Stochastic Programs
Vieweg+Teubner eBooks · 2008
Whereas the mean describes the expected outcome of a decision, risk measures reflect a decision’s riskiness. Since there are various perceptions of risk, many different risk measures are commonly used. One decision maker might appraise a decision very risky if the corresponding outcome shows a high variability. Another might define a personnel ruin level and prefer decisions that likely do not exceed it while random costs falling below his ruin level are accepted. Though we can only present a small collection of risk measures here, we try to cover some different definitions of risk.