Abstract
This chapter summarizes a body of work which has as objective the quantification of risk exposures that are particularly important in the context of industries such as the mining industry and which are inherently difficult to calibrate against a probabilistic model due to lack of information. In order to address this problem, we propose an approach based on game theoretic representations which are known in the operations research literature as distributionally robust optimization (DRO) problems. Our goal in this chapter is to provide a high level and conceptual discussion of this approach and explain how we extended it and applied it to the mining setting which is the topic of this project.
Authors
J Blanchet, U Lall
Publication date
2017/12/24
Journal
to be submitted
