An optimization approach to risk controls program for interdependent events

Abstract

The article proposes an approach to the complex impact on a complex system with interdependent elements optimizing in order to develop an optimal risk control strategy. The application of the proposed approach makes it possible to find a balance on the optimal allocation of investments between preventive measures and incident response measures. Based on the Total Cost of Risk model, examples of optimization of multifactorial impact on a system with interdependent events using matrix equations were given. The principal difference between the results of optimization from similar impacts that do not take into account the interdependencies between risk events was shown.