LC method for the determination of R-timolol in S-timolol maleate: Validation of its ability to quantify and uncertainty assessment

This article presents the validation results of a chiral liquid chromatographic (LC) method previously developed for the quantitative determination of R-timolol in S-timolol maleate samples. A novel validation strategy based on the accuracy profiles was used to select the most appropriate regression model, to assess the method accuracy within well defined acceptance limits and to determine the limits of quantitation as well as the concentration range.The validation phase was completed by the investigation of the risk profiles of various acceptable regression models in order to ensure the risk of obtaining the future measurements outside the acceptance limits fixed a priori.On the other hand, the present paper also shows how data used in this validation approach can be used to estimate the measurement uncertainty. The uncertainty derived from β-expectation tolerance interval (), which is equal to the uncertainty of measurements as well as the expanded uncertainty (U_x) using a coverage factor k = 2 was estimated. The uncertainty estimates obtained from validation data were finally compared with those obtained from interlaboratory and robustness studies.     

Designing a contaminated soil sampling strategy for human health risk assessment

Human health risk assessment is a site-based approach used to identify the potential health hazards which are induced by an old site contamination. For a proper evaluation of the daily doses of contaminants to which people will be exposed given the future occupation of the site, both a characterization and a quantification of soil pollution are needed. Such information can be provided by soil sampling. Thus the choice of the location, the number, depth and type of soil samples is very important and ought to follow a well-defined strategy. A review of contaminated site sampling practices in Europe and North America could not identify any completely formalized sampling strategy for human health risk assessment. On the contrary there are several approaches which can be roughly classified into two categories: a systematic sampling scheme over the whole site, on the one hand, and a sampling design driven by an initial knowledge of the contamination sources and fitted to the suspected pollution pattern, on the other. The first approach provides a complete coverage of the site but it may be rather expensive and entail useless sampling. The performance of the second depends on the quality of prior information. Actually both methods can be combined as explained hereafter. In view of the specificity of each site, the requirements of health risk assessment and the time and cost constraints, it seems difficult to work out a typical soil sampling strategy suitable for all sites. However, some recommendations can be made according to the site dimensions, the nature, degree and heterogeneity of contamination, and the (future) use of the site. The scientist should thus rely on a thorough examination of all available information (site history, geology and hydrogeology, soil properties, contaminants behaviour , etc.) to delimit contaminated areas as homogeneous as possible and then distribute the sampling points (e.g.using a sampling grid). They should also take the potential exposure paths into account in order to define the areas and soil strata to be sampled as a priority. Statistical and geostatistical tools can be helpful for formulating a sampling strategy as well as for interpreting the collected data. Received: 7 December 2001 Accepted: 24 February 2002     

Distributionally robust modeling of optimal control

The aim of this paper is to formulate several questions related to distributionally robust Stochastic Optimal Control modeling. As an example the distributionally robust counterpart of the classical inventory model is discussed in details. Finite and infinite horizon stationary settings are considered.     

资产定价第一基本定理的拓扑描述

资产定价的第一基本定理是数量金融学中核心的定理之一 ,本文证明了在 L∞ 的弱 * 拓扑 σ(L∞ ,L1)中的凸集分离定理 ,并在此定理的基础上给出了没有无风险免费午餐的拓扑描述 ,证明了市场公平性与没有无风险免费午餐条件的等价性 ,从而重新证明了资产定价的第一基本定理 .     

资产组合的CVaR风险的敏感度分析

基于CVaR风险计量技术，分别给出了正态和t分布情形下资产组合的CVaR值，对一般情形下风险资产组合的CVaR风险关于头寸的敏感度进行了分析，研究了其经济意义。     

Characterizations of classes of risk measures by dispersive orders

In this paper, a class C₁ of risk measures, which generalizes the class of risk measures for the right-tail deviation suggested by Wang [Wang, S., 1998. An actuarial index of the right-tail risk. North Amer. Actuarial J. 2, 88–101], is characterized in terms of dispersive order. If dispersive order does not hold, unanimous comparisons are still possible by restricting our attention to a subclass C₂C₁ and then the criterion is the excess-wealth order. Sufficient conditions for stochastic equivalence of excess-wealth ordered random variables are derived in terms of some particular measures of C₂.     

Designing risk management support systems

The major movements emerging in the field of risk analysis over the past decades are reviewed with special emphasis placed on their treatment of non-technical issues and their relevance to risk management needs. With this background, the requirements for an effective system to support risk management activities are discussed and a user-oriented design process outlined. The Ispra Risk Management Support (IRIMS) System is briefly described.Invited for presentation at the 12th Symposium on Operations Research, University of Passau, Federal Republic of Germany, September 9–12, 1987.     

The maximum of a Lévy process reflected at a general barrier

We investigate the reflection of a Lévy process at a deterministic, time-dependent barrier and in particular properties of the global maximum of the reflected Lévy process. Under the assumption of a finite Laplace exponent, ψ(θ)$\psi \left(\theta \right)$, and the existence of a solution θ^∗>0${\theta }^{\ast }>0$ to ψ(θ)=0$\psi \left(\theta \right)=0$ we derive conditions in terms of the barrier for almost sure finiteness of the maximum. If the maximum is finite almost surely, we show that the tail of its distribution decays like Kexp(−θ^∗x)$Kexp(-{\theta }^{\ast }x)$. The constant K$K$ can be completely characterized, and we present several possible representations. Some special cases where the constant can be computed explicitly are treated in greater detail, for instance Brownian motion with a linear or a piecewise linear barrier. In the context of queuing and storage models the barrier has an interpretation as a time-dependent maximal capacity. In risk theory the barrier can be interpreted as a time-dependent strategy for (continuous) dividend pay out.     

What drives value creation in investment projects? An application of sensitivity analysis to project finance transactions

Evaluating the economic attractiveness of large projects often requires the development of large and complex financial models. Model complexity can prevent management from obtaining crucial information, with the risk of a suboptimal exploitation of the modelling efforts. We propose a methodology based on the so-called “differential importance measure (D)$(D)$” to enhance the managerial insights obtained from financial models. We illustrate our methodology by applying it to a project finance case study. We show that the additivity property of D grants analysts and managers full flexibility in combining parameters into any group and at the desired aggregation level. We analyze investment criteria related to both the investors’s and lenders’ perspectives. Results indicate that exogenous factors affect investors (sponsors and lenders) in different ways, whether exogenous variables are considered individually or by groups.     

Risk estimation of infectious diseases determines the effectiveness of the control strategy

Usually, whether to take vaccination or not is a voluntary decision, which is determined by many factors, from societal factors (such as religious belief and human rights) to individual preferences (including psychology and altruism). Facing the outbreaks of infectious diseases, different people often have different estimations on the risk of infectious diseases. So, some persons are willing to vaccinate, but other persons are willing to take risks. In this paper, we establish two different risk assessment systems using the technique of dynamic programming, and then compare the effects of the two different systems on the prevention of diseases on complex networks. One is that the perceived probability of being infected for each individual is the same (uniform case). The other is that the perceived probability of being infected is positively correlated to individual degrees (preferential case). We show that these two risk assessment systems can yield completely different results, such as, the effectiveness of controlling diseases, the time evolution of the number of infections, and so on.