An Algorithm for the Min-Max Loss Rule for Claims Problems
Research & Publications
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
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.