risk modeling Articles

  • Is game theory a useful tool for terrorism insurance?

    This paper addresses the topic of terrorism insurance. Financial markets and international institutions believe that terrorism risk modelling falls short of making the likelihood of future attacks more predictable and quantifiable. We present the literature of research in the domain of game theory applied to terrorism insurance, we scrutinise the possibility of using evolutionary game theory and ...


    By Inderscience Publishers

  • A risk management framework and model for pension investment funds

    Risk management in finance is an increasingly important area, which has been highlighted in the midst of the global credit crisis. In this paper, we propose a new risk management model for pension investment funds: a risk management framework and risk measure based on modelling the pension fund value as an option. We review risk management, discussing risk management frameworks and risk ...


    By Inderscience Publishers

  • Absence of evidence for threshold departures from linear-quadratic curvature in the Japanese A-bomb cancer incidence and mortality data

    The recently released data on cancer incidence and mortality in the Japanese A-bomb survivors are analysed using a variety of relative risk models which take account of errors in estimates of dose to assess the dose-response at low doses. If a relative risk model with a threshold (the dose-response being assumed linear above the threshold) is fitted to the solid cancer incidence or mortality ...


    By Inderscience Publishers

  • Global sensitivity analysis for latent factor credit risk models

    This paper proposes the use of global sensitivity analysis to evaluate the risk associated with a credit portfolio model. Although successfully applied in many disciplines such as chemistry, biology and environmental science, the use of global sensitivity analysis is still rare in financial contexts. One-at-a-time sensitivity analysis is usually applied despite its shortcomings. The scope of this ...


    By Inderscience Publishers

  • Copulae and operational risks

    The motivation of this paper is to develop efficient statistical methods aimed at measuring operational risk. A number of recent legislations and market practices are motivating such developments. For instance, 'the New Basel Capital Accord' (Basel II, 2001), published by Basel Committee on Banking supervision, requires financial institutions to measure operational risks, defined as "the risk of ...


    By Inderscience Publishers

  • Critical infrastructure and smart technology risk modelling using computational intelligence

    We discuss the criticality of infrastructure in economic development and security, and identify various risks posed by smart technologies as applied to infrastructure. We provide a computational intelligence methodology, using attitudinal and fuzzy modelling, and illustrate its application as a risk modelling decision technology in the selection of smart technology in critical ...


    By Inderscience Publishers

  • 2010 Marie Curie prize lecture: low-dose induced protection invalidates the linear-no-threshold model in mammalian bodies ? a system-biology approach

    Low-dose irradiation of mammalian tissues causes damage and protection, the ratio of which increasingly advances damage as doses increase. Below about 100 mSv, there is no observation of increased cancer incidence in exposed human populations. These data contradict the linear-no-threshold (LNT) dose-risk model. A biological system approach formalises the body to be organised in hierarchical ...


    By Inderscience Publishers

  • Technologies of logic and probabilistic management of risk of social and economic systems

    We propose the risk of logic and probabilistic management technologies of social and economic systems for informational and analytical support of leaders and of managers to make decisions. We describe components of risk management technologies. We give an example of risk logic and probabilistic (LP) model of successful development of Russia. We state methods of quantitative LP–analysis and ...


    By Inderscience Publishers

  • Modelling the default risk in large credit portfolios

    We propose a reduced-form model for credit risk in a multivariate setting. The default intensities are linear combinations of three independent affine jump-diffusion processes representing the intensities of general, sectoral and idiosyncratic credit events. The model can be efficiently calibrated to term structures of default probabilities and conditional probabilities of default given the ...


    By Inderscience Publishers

  • Professional services risk modeling tool case study

    Professional Services Risk Modeling Tool (2 of 2) Result: A user-friendly data collection software tool was delivered to the client along with a manual for running and modifying the tool. This tool led the client's agent through a series of data acquisition steps with visual cues, error checking and the ability to add notes and new elements. The tool effectively makes ...


    By Vose Software

  • A conditional value-at-risk model for insurance products with a guarantee

    We propose a model to select the optimal portfolio which underlies insurance policies with a guarantee. The objective function is defined in order to minimise the conditional value at-risk (CVaR) of the distribution of the losses with respect to a target return. We add operational and regulatory constraints to make the model as flexible as possible when used for real applications. We show that ...


    By Inderscience Publishers

  • A fuzzy decision-making model for risk ranking with an application to an onshore gas refinery

    This paper aims to identify the important risks in Iranian onshore gas refinery plants and introduce new effective criteria. Risks are prioritised on the basis of the significance of impacts on typical project objectives in terms of cost, time, quality, safety and environmental sustainability. Then, this problem is defined in the Fuzzy Multicriteria Decision-Making (FMCDM) field. The Fuzzy ...


    By Inderscience Publishers

  • Risk management pervasiveness and organisational maturity: a critical review

    Implementing risk management remains a significant challenge for many organisations. In order to help address this issue, risk management maturity models have become an important tool for improving and assessing organisational risk capability. In this paper, we present a critical review of the existing literature on risk management maturity models. Drawing on existing theory, we challenge current ...


    By Inderscience Publishers

  • Multi-attribute aspects for risk assessment of natural hazards

    This paper reviews the process of risk-based decision making and creates a new multi-attribute framework for risk analysis of natural hazards. This is based on perceived risks, which are the domain of the social sciences, and mathematical risks, the work of technical sciences. Considering both engineering risk and society's perceived risk has lead to the development of a graphical tool which ...


    By Inderscience Publishers

  • Using reliability and simulation models in business continuity planning

    Business continuity planning is a process to ensure that an organisation can continue to function effectively and resiliently when faced with crisis events. A key phase of the process is risk analysis, which involves identifying events, determining causes, and estimating probabilities and impact. In this paper we focus on estimating probabilities. Current practice often relies on ad hoc methods ...


    By Inderscience Publishers

  • System of systems modelling and simulation – an outlook and open issues

    System of systems (SoS) engineering is an emerging sub-discipline, within which modelling and simulation is a key area. The failure of many SoS endeavours can be attributed to the inappropriate application of systems engineering processes, including modelling approaches. Selection of suitable modelling approaches is critical to ensuring representative models are created, ensuring reliable SoS ...


    By Inderscience Publishers

  • Verification of flood damage modelling using insurance data

    This paper presents the results of an analysis using insurance data for damage description and risk model verification, based on data from a Danish case. The results show that simple, local statistics of rainfall are not able to describe the variation in individual cost per claim, but are, however, feasible for modelling the overall cost per day. The study also shows that in combining the ...


    By IWA Publishing

  • Company valuation under risk and flexibility: discrete models comparison

    This paper concentrates on the comparison of company valuation models under risk and flexibility (real option approach). This approach simultaneously reflects uncertainty in a company's future cash flows and flexibility in decision–making. Here, models for financial options valuation are applied on company assets. Equity value is calculated as American real call option hold by shareholders on ...


    By Inderscience Publishers

  • Improving drought risk modelling: using multiple periods of satellite data with ensembles of data mining algorithms

    This paper describes improvements to the Vegetation Outlook (VegOut) model developed by the National Drought Mitigation Center for the USA. VegOut provides early drought warning by predicting general vegetation conditions at multiple time steps (e.g., 2–, 4– and 6–week outlooks). VegOut integrates climate, biophysical, oceanic, and satellite–based vegetation data with data mining algorithms to ...


    By Inderscience Publishers

  • Time-based collision risk models for air traffic management systems

    A finite supply of airspace and limited opportunities for expansion of physical infrastructure has led aviation authorities worldwide to commit substantial resources toward the development of new initiatives to accommodate rising demand in the global airspace system. The European Union is developing the Single European Sky , while a parallel program in the USA, the Next Generation Air Traffic ...


    By Inderscience Publishers

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