An Algorithm for the Min-Max Loss Rule for Claims Problems

01/06/1996

An Algorithm for the Min-Max Loss Rule for Claims Problems

Lahiri Somdeb

Working Papers

  • facebook
  • linkedin
  • twitter
  • whatsapp

In this paper we provide an algorithm which gives us the unique solution to the problem of minimizing the maximum loss (where loss is measured by unsatisfied demands) for a claims problem. The answer lies crucially on the structure of the problem.

IIMA