提前期不确定条件下的预防性维修备件存储模型研究

在考虑预防性维修周期和提前期不确定的条件下,分别研究备件存储与其相关的维修费用、缺货费用、库存费用以及订购费用等四种费用之间的关系,明确了备件存储量对各项费用的影响.以各项费用总和最小化为目标,构建了提前期不确定条件下的预防性维修备件存储模型.通过备件存储模型的构建,对备件存储过程中的各项成本进行分析,以期对备件库存策略的确定给出一种解决方案.     

Health shock risk,critical illness insurance,and housing services

This paper studies a consumption–investment problem involving health shock risk, perishable consumption, and consumption of housing services. Additionally to a risk-free asset and a stock index, the agent can invest in real estate. I analyze the impact of health shocks on the optimal consumption and investment decisions in model specifications with and without the possibility to buy critical illness insurance. I discuss the influence of critical illness insurance on the optimal strategy and analyze the drivers of the optimal critical illness insurance demand. The results indicate that health shock risk has potentially devastating consequences, especially for young agents. It turns out that critical illness insurance is an excellent instrument for hedging health shock risk and for consumption smoothing across different health states. Optimal critical illness insurance demand is decreasing in financial wealth and increasing in human wealth. Real estate prices have a minor influence on optimal critical illness insurance demand.     

Intermediate buffer analysis for a production system

In this paper, a production system consisting of two serial machines and an intermediate buffer is studied. A shortage cost is incurred when the upstream machine is down and the buffer is exhausted. The practical example for this type of system can be an automated work center or an automobile general assembly.Researches on a similar two-machine system have been done in some articles where maintenance and an intermediate buffer are considered, but the spare parts are not involved. Nevertheless, spare parts are essential for maintenance implementation, and there is interaction between the buffer inventory and the spare parts due to maintenance activity. This paper is aimed to investigate three types of cost related to the intermediate buffer inventory, and obtain their expectations as functions of several decision parameters on maintenance, buffer, and spare parts during a renewal cycle, by using mathematical analysis. The proposed method can be an important basis for further study of system cost calculation and decision making optimization.     

Optimization of component reliability in the design phase of capital goods

We introduce a quantitative model to support the decision on the reliability level of a critical component during its design. We consider an OEM who is responsible for the availability of its systems in the field through service contracts. Upon a failure of a critical part in a system during the exploitation phase, the failed part is replaced by a ready-for-use part from a spare parts inventory. In an out-of-stock situation, a costly emergency procedure is applied. The reliability levels and spare parts inventory levels of the critical components are the two main factors that determine the downtime and corresponding costs of the systems. These two levels are decision variables in our model. We formulate the portions of Life Cycle Costs (LCC) which are affected by a component’s reliability and its spare parts inventory level. These costs consist of design costs, production costs, and maintenance and downtime costs in the exploitation phase. We conduct exact analysis and provide an efficient optimization algorithm. We provide managerial insights through a numerical experiment which is based on real-life data.     

Optimal excess-of-loss reinsurance and investment polices under the CEV model

This paper focuses on risk control problem of the insurance company in enterprise risk management. The insurer manages its financial risk through purchasing excess-of-loss reinsurance, and investing its wealth in the constant elasticity of variance stock market. We model risk process by Brownian motion with drift, and study the optimization problem of maximizing the exponential utility of terminal wealth under the controls of reinsurance and investment. Using stochastic control theory, we obtain explicit expressions for optimal polices and value function. We also show that the optimal excess-of-loss reinsurance is always better than optimal proportional reinsurance. And some numerical examples are given.     

Multicriteria decision aid in financial management

The financial decisions of an organization are usually included in the context of optimization. Concerning a long-term period, there are decisions related to the optimal allocation of funds, and decisions related to the optimal financial structure. In the short-term case, the decisions are related to the optimization of stocks, cash, accounts receivable, current liabilities, etc. The financial theory analyzes these decisions, mainly from an optimal point of view. The optimal character of such decisions has led researchers to propose operations research techniques to solve the problems that are inherent in such decisions. This paper examines the contribution of multicriteria analysis in solving financial decision problems in a realistic context. The paper also includes an extensive bibliography on the subject.     

基于股票价格随机脉冲模型的保险人再保险和投资的最优动态组合选择

本文假设保险人可以进行再保险,并且允许其在金融市场中将资产投资于风险资产和无风险资产,其中风险资产价格采用随机脉冲模型来刻画.当目标是最大化在某一确定终止时刻所拥有财富的二次效用函数期望时,分别得到了超额损失再保险和比例再保险情况下保险人的再保险和投资最优动态选择的显式解和闭解.利用得到的显式解,考虑了金融风险和保险风险之间相关性对最优动态选择的影响,做了相关数值计算.     

Optimal inventory and insurance decisions for a supply chain financing system with downside risk control

This research considers a supply chain financing system consisting of a capital‐constrained retailer, a supplier and a risk‐averse bank. The retailer may be subject to credit limit because of the bank's downside risk control, and hence, credit insurance should be needed to enhance his financing ability. This paper develops a mathematical optimization model by incorporating insurance policy into the well‐known newsvendor financing model. The optimal inventory and insurance decisions under different scenarios, that is, no insurance, insurance with symmetric information and insurance with asymmetric information, are derived. This work also discusses how the retailer's capital level, the bank's risk aversion, and the insurer's loading factor affect the optimal inventory and insurance decisions. The results show that the retailer will use credit insurance if he is sufficiently capital‐constrained or the insurer's risk loading factor is low enough. Moreover, credit insurance can bring Pareto improvement to the supply chain financing system, which verifies the prevalence of credit insurance in practice. Several numerical experiments are presented to examine the sensitivities of key parameters. Copyright © 2016 John Wiley & Sons, Ltd.     

THE INSURANCE VALUE OF BIODIVERSITY IN THE PROVISION OF ECOSYSTEM SERVICES

ABSTRACT. Biodiversity provides insurance against the uncertain provision of ecosystem services which are being used by risk‐averse economic agents. I present a conceptual ecological‐economic model that combines (i) current results from ecology about the relationships between biodiversity, ecosystem functioning, and the provision of ecosystem services with (ii) economic methods to study decision‐making under uncertainty. In this framework I (1) determine the insurance value of biodiversity, (2) study the optimal allocation of funds in the trade‐off between investing into biodiversity protection and the purchase of financial insurance, and (3) analyze the effect of different institutional regimes in the market for financial insurance on biodiversity protection. I conclude that biodiversity acts as a form of natural insurance for risk‐averse ecosystem managers against the over‐ or under‐provision with ecosystem services. Therefore, biodiversity has an insurance value, which is a value component in addition to the usual value arguments, such as direct or indirect use or non‐use values. In this respect, biodiversity and financial insurance are substitutes. Hence, the availability, and exact institutional design, of financial insurance influence the level of biodiversity protection.     

Service differentiation in spare parts inventory management

The contemporary after-sales market is of increasing importance. One of the features required by the market is to provide differentiated service levels to different groups of customers. We use critical levels as a means to offer differentiation. Critical level policies aim to exploit the differences in target service levels by inventory rationing. In our multi-item single-location spare parts inventory model, we aim to minimize the spare parts provisioning cost, that is inventory holding and transportation cost, under the condition that aggregate mean waiting time constraints for all customer groups are met. In a computational experiment and a case study with data from a company in the semiconductor supplier industry, we show that significant cost reductions can be obtained when critical level policies are used instead of base stock policies (ie policies without critical levels).     

含不动产项目的保险公司再保险-投资策略

站在保险公司管理者的角度, 考虑存在不动产项目投资机会时保险公司的再保险--投资策略问题. 假定保险公司可以投资于不动产项目、风险证券和无风险证券, 并通过比例再保险控制风险, 目标是最小化保险公司破产概率并求得相应最佳策略, 包括: 不动产项目投资时机、 再保险比例以及投资于风险证券的金额. 运用混合随机控制-最优停时方法, 得到最优值函数及最佳策略的显式解. 结果表明, 当且仅当其盈余资金多于某一水平(称为投资阈值)时保险公司投资于不动产项目. 进一步的数值算例分析表明: (a)~不动产项目投资的阈值主要受项目收益率影响而与投资金额无明显关系, 收益率越高则投资阈值越低; (b)~市场环境较好(牛市)时项目的投资阈值降低; 反之, 当市场环境较差(熊市)时投资阈值提高.     

基于战役的多机种战伤备件需求模型

为了合理储备战时航材备件,通过分析战时故障备件的需求特点,改进了传统的单机故障备件需求模型.根据多机种协同作战任务的不同,引入备件工作运行比的概念,建立了基于作战任务的多机种故障备件需求模型.为解决多机种协同作战时的保障资源配置问题提供了思路和方法.     

Optimal lateral transshipment policies for a two location inventory problem with multiple demand classes

We consider an inventory model for spare parts with two stockpoints, providing repairable parts for a critical component of advanced technical systems. As downtime costs for these systems are expensive, ready–for–use spare parts are kept in stock to be able to quickly respond to a breakdown of a system. We allow for lateral transshipments of parts between the stockpoints upon a demand arrival. Each stockpoint faces demands from multiple demand classes. We are interested in the optimal lateral transshipment policy. There are three ways in which a demand can by satisfied: from own stock, via a lateral transshipment, or via an emergency procedure. Using stochastic dynamic programming, we characterize and prove the structure of the optimal policy, that is, the policy for satisfying the demands which minimizes the average operating costs of the system. This optimal policy is a threshold type policy, with state-dependent thresholds at each stockpoint for every demand class. We show a partial ordering in these thresholds in the demand classes. In addition, we derive conditions under which the so-called hold back and complete pooling policies are optimal, two policies that are often assumed in the literature. Furthermore, we study several model extensions which fit in the same modeling framework.     

Spares provisioning under performance-based logistics contract: profit-centric approach

Performance-based logistics (PBL) is emerging as a preferred logistic support strategy within the public sector, especially the Department of Defence. Under a PBL strategy, the customer buys performance, such as operational availability, mission readiness and operational reliability, instead of contracting for a specified collection of resources defining the underlying support infrastructure. The literature on PBL is still in its infancy and additional research is required to optimize logistic resources such as spare parts, equipment, facilities, labour etc within a PBL context. In this paper, an optimization model is developed for spares provisioning under a multi-item, multi-echelon scenario. The objective of the optimization model is to maximize the profit to the supplier under a PBL contract.     

A stochastic model for joint spare parts inventory and planned maintenance optimisation

Spare parts demands are usually generated by the need of maintenance either preventively or at failures. These demands are difficult to predict based on historical data of past spare parts usages, and therefore, the optimal inventory control policy may be also difficult to obtain. However, it is well known that maintenance costs are related to the availability of spare parts and the penalty cost of unavailable spare parts consists of usually the cost of, for example, extended downtime for waiting the spare parts and the emergency expedition cost for acquiring the spare parts. On the other hand, proper planned maintenance intervention can reduce the number of failures and associated costs but its performance also depends on the availability of spare parts. This paper presents the joint optimisation for both the inventory control of the spare parts and the Preventive Maintenance (PM) inspection interval. The decision variables are the order interval, PM interval and order quantity. Because of the random nature of plant failures, stochastic cost models for spare parts inventory and maintenance are derived and an enumeration algorithm with stochastic dynamic programming is employed for finding the joint optimal solutions over a finite time horizon. The delay-time concept developed for inspection modelling is used to construct the probabilities of the number of failures and the number of the defective items identified at a PM epoch, which has not been used in this type of problems before. The inventory model follows a periodic review policy but with the demand governed by the need for spare parts due to maintenance. We demonstrate the developed model using a numerical example.     

智能电表最优更换及备件库存联合决策

智能电表是智能电网运行的关键部件,提高其可靠性和可用度对保证电力的持续不间断供应和准确电能测量至关重要。充足的智能电表库存是其换装与维修的基本保障。本文基于智能电表的故障特性和换装需求分析,建立了智能电表的最优更换与备件库存联合决策模型,并给出了优化方法,以求得可以使系统长期平均运营成本最小的最优更换与备件库存策略。     

Optimization models for critical spare parts inventories—a reliability approach

In industries characterized by heavy utilization of equipment and machinery, such as mining, oil & gas, utilities, transportation, adequate stockholding of critical spare parts becomes essential. Insufficient stocks affect overall performance of physical assets, as lack of spares may result in gross penalties, lower availability or increased operational risks. On the other hand, oversized inventories lead to inefficient use of capital and may imply severe expenditures. This paper presents various approaches for the determination of the optimal stock size, when the stock is composed of (i) non-repairable or (ii) repairable parts. The paper is focused on spares for relatively expensive, highly reliable components, rather than on fast-moving spare parts. Optimization criteria considered are minimization of costs, maximization of equipment availability, and the achievement of a desired stock reliability (probability that a spare part request will not be rejected because of the lack of spares in stock). For stock reliability, instantaneous and interval reliability calculations are considered. In addition, models directed to the estimation of the remaining life of a given stock of spare parts (at a certain stock reliability level) are introduced. The paper describes several models subject to practical industrial application, and presents case studies from utilities and mining to illustrate their use.     

Optimal management and inflation protection for defined contribution pension plans

Due to the increasing risk of inflation and diminishing pension benefits, insurance companies have started selling inflation-linked products. Selling such products the insurance company takes over some or all of the inflation risk from their customers. On the other side financial derivatives which are linked to inflation such as inflation linked bonds are traded on financial markets and appear to be of increasing popularity. The insurance company can use these products to hedge its own inflation risk. In this article we study how to optimally manage a pension fund taking positions in a money market account, a stock and an inflation linked bond, while financing investments through a continuous stochastic income stream such as the plan member’s contributions. We use the martingale method in order to compute an analytic expression for the optimal strategy and express it in terms of observable market variables.     

Decision support for spare parts acquisition in post product life cycle

A major task in service management is the timely and cost efficient provision of spare parts for durable products. This especially holds good, when the regular production of the product, its components and parts has been discontinued, but customer service still has to be guaranteed for quite a long time. In such post product life cycle period, three options are available to organize the spare parts acquisition, namely (i) setting up a single large order within the final lot of regular production, (ii) performing extra production runs until the end of service and (iii) using remanufacturing to gain spare parts from used products. These three options are characterized by different cost and flexibility properties. Due to the time-variability and uncertainty of demands for spare parts and also that of the returns of used products, it is a challenging task to find out the optimal combination of these three options. In this paper we show how this problem can be modeled and solved by Decision Tree and stochastic Dynamic Programming procedure. Based on the Dynamic Programming approach a heuristic method is proposed, which can be employed to come up with a simple solution procedure for real-world spare parts acquisition problems during the post product life cycle. A numerical example is presented to demonstrate the application of the solution methods described in the paper.     

Environmental corporate responsibility for investments evaluation: an alternative multi-objective programming model

The manufacturer who is a supplier of trade credit may face non-payment risk from customers and a capital shortage problem simultaneously. Trade credit insurance, as one of the most important risk management tools, has been widely used in companies’ daily operation. In this study, the manufacturer who allows customers to delay payment for goods already delivered purchases trade credit insurance to transfer and reduce non-payment risk and borrows money from a bank to accommodate the capital constraint problem. The Stackelberg game and loss-averse theory are used to establish a newsboy model including trade credit insurance, and the optimal insurance coverage and total sales of the manufacturer are thereby investigated. Subsequently, the interest rate decision of the bank under different risk-averse situations is also characterized. We find that the interest rate set by a loss-averse bank is equal to or greater than that given by a risk-neutral bank. The use of trade credit insurance can help the manufacturer expand sales and dramatically reduce its default risk. Both the bank and the manufacturer are better off due to the use of trade credit insurance, but contrary to what one might expect, the bank prefers giving a higher interest rate to the manufacturer when the premium rate is in a reasonable region, which indicates that the manufacturer cannot use the insurance to negotiate better financing terms.