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Automation and Remote Control

, Volume 80, Issue 7, pp 1265–1278 | Cite as

Risk Management in Hierarchical Games with Random Factors

  • M. A. GorelovEmail author
Intellectual Control Systems, Data Analysis

Abstract

A game-theoretic model of the Principal-agent type is considered, in which the result of an agent’s activity depends not only on his/her choice but also on some random factor. The Principal is assumed to choose the total probability of all negative events that he/she will exclude from consideration; in the other respects, he/she is cautious. The structure of the Principal’s optimal strategies is found. Two models differing by the Principal’s awareness of the partner’s actions are studied.

Keywords

theory of decision making hierarchical systems risk management games with random factors Value at Risk 

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Copyright information

© Pleiades Publishing, Ltd. 2019

Authors and Affiliations

  1. 1.Federal Research Center for Computer Science and ControlRussian Academy of SciencesMoscowRussia

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