震后房屋评价模型的改进

科学的评定震后的已损毁建筑对震后房屋处理,城市功能的及时恢复,社会生产稳定、生活秩序的恢复等,具有重要的现实意义.针对传统震后的损毁房屋评价模型的不足,提出了一种震后房屋危险性鉴定的评价模型,结合AHP方法,利用实际中各种因素影响的权重构建了相应的模糊隶属度函数,计算地震损毁房屋的等级.利用真实地震中的房屋数据对该方法进行了测试和分析,实验结果表明该方法是科学、有效的,可以一定程度提高震后房屋鉴定的准确性和合理性.     

MODELING REGIONAL IRRIGATION DECISIONS AND DRAINAGE POLLUTION CONTROL

A regional model is proposed for evaluating policies aimed at controlling the quantity and quality of drainage from agricultural lands. The model includes both physical and economic components. The physical component incorporates a crop-water production function which computes the physical soil-water-crop relationships. The multi-farm economic model is a regional income maximization model. The model includes also physical and institutional constraints for each farm and the region. Policies evaluated in this context are varying taxes and constraints on drainage discharge and surface water use. The model was applied to a region in California. Results for alternative control policies are compared on the basis of resource use, regional income, drainage quality and quantity, and the resulting pollution load.     

Aspects of the theory of financial risk management for natural disasters

We analyze two aspects of the theory of financial risk management for natural disasters such as earthquakes. First, we use the theory of Poisson processes to construct a model of an earthquake. We then use this model to provide an index of the monetary damage from an earthquake with aftershocks. Second, we study the question of business failure, i.e., the likelihood that an insurance provider will become insolvent in the event that earthquake insurance is provided and a major earthquake does in fact occur.     

Bayesian Hierarchical Space–time Modeling of Earthquake Data

Stochastic earthquake models are often based on a marked point process approach as for instance presented in Vere-Jones (Int. J. Forecast., 11:503–538, 1995). This gives a fine resolution both in space and time making it possible to represent each earthquake. However, it is not obvious that this approach is advantageous when aiming at earthquake predictions. In the present paper we take a coarse point of view considering grid cells of 0.5 × 0.5°, or about 50 × 50 km, and time periods of 4 months, which seems suitable for predictions. More specifically, we will discuss different alternatives of a Bayesian hierarchical space–time model in the spirit of Wikle et al. (Environ. Ecol. Stat., 5:117–154, 1998). For each time period the observations are the magnitudes of the largest observed earthquake within each grid cell. As data we apply parts of an earthquake catalogue provided by The Northern California Earthquake Data Center where we limit ourselves to the area 32–37° N, 115–120° W for the time period January 1981 through December 1999 containing the Landers and Hector Mine earthquakes of magnitudes, respectively, 7.3 and 7.1 on the Richter scale. Based on space-time model alternatives one step earthquake predictions for the time periods containing these two events for all grid cells are arrived at. The model alternatives are implemented within an MCMC framework in Matlab. The model alternative that gives the overall best predictions based on a standard loss is claimed to give new knowledge on the spatial and time related dependencies between earthquakes. Also considering a specially designed loss using spatially averages of the 90th percentiles of the predicted values distribution of each cell it is clear that the best model predicts the high risk areas rather well. By using these percentiles we believe that one has a valuable tool for defining high and low risk areas in a region in short term predictions.      

基于混合模型对地震巨灾风险的分析

POT模型常被用于分析巨灾风险,然而在应用POT模型时,阀值的估计及选择存在很多困难。本文提出用混合模型对巨灾风险进行估计,并讨论混合模型的贝叶斯统计分析。基于混合模型及贝叶斯统计方法,本文对我国1966年至2014年问GDP调整后的地震直接经济损失进行分析,并根据最终模型计算出不同置信度水平下的VaR值和ES值,为我国地震巨灾风险管理提供了理论依据。     

A stochastic investiment model for a survival conscious firm

A stochastic investiment is analyzed to show the consequences of an unwillingness by the entrepreneur to accept any positive risk of the firm's failure. The entrepreneur does not invest in additional capacity, even in the face of continuing positive expected profits, if that investment would infringe on the firm's ability to survive. Survival of the firm conditions all investment decisions, which are functions (via the physical and financial capital accounts) of the random outcomes observed at the time of decision. This conditioning shows how worse than expected outcomes will affect the firm's net asset position and its ability to survive. Managerially, the entrepreneur has principles by which to explicitly consider unpleasant surprises in planning for the continued growth of the firm. In contrast, knowledge of the random outcomes is shown to be of no consequence in an alternative model where maximization of expected profits is the sole criterion of the entrepreneur. In that model, the optimal investiment decisions can be made at the beginning of the firm's life, because those decisions are not functions of the future yields. Reduction of the survival model to a linear programming (LP) problem highlights the additional complexity of the survival problem. This reduction means that the maximum value of the objective function for the primal (expected profits) equals the minimum value of the objective function for the dual (resource costs), which economists interpret as zero profits. The zero profit consequence is in accordance with Knight's long-standing economic conjecture: If all risks are measureable, total risk aversion will result in no profits. Also, LP methods provide a way in application to analyze a wide range of risk possibilities from acceptance of no risk of failure to acceptance of some risk of failure.The economist as such does not advocate criteria of optimality. He may invent them. ... the ultimate choice is made by the procedures of decision making inherent in the institutions, laws and customs of society. Tjalling C. Koopmans, Nobel Memorial Lecture, 11th December 1975.     

Existence of periodic solutions in a model of respiratory syncytial virus RSV

In this paper we study the existence of a positive periodic solutions for nested models of respiratory syncytial virus RSV, by using a continuation theorem based on coincidence degree theory. Conditions for the existence of periodic solutions in the model are given. Numerical simulations related to the transmission of respiratory syncytial virus in Madrid and Rio Janeiro are included.     

Multi-objective optimal allocation of resources to increase the seismic reliability of highways

To reduce the risk of disruption of lifeline systems during the emergency following an earthquake (or any other disaster) preventive interventions on the existing concerned facilities are necessary, but often hindered by the limitation of the available economic resources. In this paper, procedures for the optimal allocation of these resources are presented, with special reference to the case of road networks. It is assumed that the bridges are the only vulnerable elements, and an example of application on a specific network is developed in detail. In the first part of the paper, optimization with respect to several alternative objective functions is dealt with, while in the second part multi-objective optimization is tackled. The results obtained are compared and discussed.Dedicated to Haresh Shah on the occasion of his retirement from Stanford University.     

Credit risk model with contagious default dependencies affected by macro-economic condition

We consider a credit risk model with two industrial sectors, where defaults of corporations would be influenced by two factors. The first factor represents the macro economic condition which would affect the default intensities of the two industrial sectors differently. The second factor reflects the influences of the past defaults of corporations against other active corporations, where such influences would affect the two industrial sectors differently. A two-layer Markov chain model is developed, where the macro economic condition is described as a birth-death process, while another Markov chain represents the stochastic characteristics of defaults with default intensities dependent on the state of the birth-death process and the number of defaults in two sectors. Although the state space of the two-layer Markov chain is huge, the fundamental absorbing process with a reasonable state space size could capture the first passage time structure of the two-layer Markov chain, thereby enabling one to evaluate the joint probability of the number of defaults in two sectors via the uniformization procedure of Keilson. This in turn enables one to value a variety of derivatives defined on the underlying credit portfolios. In this paper, we focus on a financial product called CDO, and a related option.     

Multi-population mortality models: A factor copula approach

Modeling mortality co-movements for multiple populations have significant implications for mortality/longevity risk management. A few two-population mortality models have been proposed to date. They are typically based on the assumption that the forecasted mortality experiences of two or more related populations converge in the long run. This assumption might be justified by the long-term mortality co-integration and thus be applicable to longevity risk modeling. However, it seems too strong to model the short-term mortality dependence. In this paper, we propose a two-stage procedure based on the time series analysis and a factor copula approach to model mortality dependence for multiple populations. In the first stage, we filter the mortality dynamics of each population using an ARMA–GARCH process with heavy-tailed innovations. In the second stage, we model the residual risk using a one-factor copula model that is widely applicable to high dimension data and very flexible in terms of model specification. We then illustrate how to use our mortality model and the maximum entropy approach for mortality risk pricing and hedging. Our model generates par spreads that are very close to the actual spreads of the Vita III mortality bond. We also propose a longevity trend bond and demonstrate how to use this bond to hedge residual longevity risk of an insurer with both annuity and life books of business.     

A trust region algorithm for minimization of locally Lipschitzian functions

The classical trust region algorithm for smooth nonlinear programs is extended to the nonsmooth case where the objective function is only locally Lipschitzian. At each iteration, an objective function that carries both first and second order information is minimized over a trust region. The term that carries the first order information is an iteration function that may not explicitly depend on subgradients or directional derivatives. We prove that the algorithm is globally convergent. This convergence result extends the result of Powell for minimization of smooth functions, the result of Yuan for minimization of composite convex functions, and the result of Dennis, Li and Tapia for minimization of regular functions. In addition, compared with the recent model of Pang, Han and Rangaraj for minimization of locally Lipschitzian functions using a line search, this algorithm has the same convergence property without assuming positive definiteness and uniform boundedness of the second order term. Applications of the algorithm to various nonsmooth optimization problems are discussed.This author's work was supported in part by the Australian Research Council.This author's work was carried out while he was visiting the Department of Applied Mathematics at the University of New South Wales.     

Sensitivity analysis in A class of dynamic optimization models

A general model of dynamic optimization, deterministic, in discrete time, and with infinite time horizon is considered. We assume that there are parameters in the formulation of the model. Conditions for stability of the optimal solution are studied. Analysis of steady state comparative statics and comparative dynamics are presented. In addition we apply these results to a quadratic case and to an economic example: a one sector growth model. This research was financed by the Universidad Complutense de Madrid, project PR295/95-6073     

In Defence of the Economic Batch Quantity

The derivation of the formula for the economic batch quantity is fairly simple and is often used to illustrate operational research methodology. The model has recently been attacked, on the grounds that a mistaken attempt is made to minimize costs, and that in any case it misrepresents costs. In this paper alternatives are expressed symbolically. It is shown that optimizing any of the alternative functions would be equivalent or inferior to minimizing costs.     

THE ECONOMICS OF MARINE RESERVES

ABSTRACT. Marine reserves can be a useful supplement to other methods of fisheries management, but marine reserves alone are not likely to achieve a great deal in economic terms andperhaps not even in terms of conservation. The effects of marine reserves with open access elsewhere are analyzed, using a logistic model for a population with a patchy distribution. It is assumedthat a marine reserve is establishedfor the territory of one of two sub‐populations which interact through migrations. The total population increases while the total catch declines for the most part. A high rate of migration would, however, dilute the conservation effect. Examining a stochastic variant of the model shows that the variability (sum of squareddeviations) of catches may decrease as a result of protecting one of the sub‐populations. Even if all rents disappear by assumption, it is possible to identify this as an economic benefit, particularly when the average catch increases. The variability of the catch falls for a range of values of the population migration parameter and variability of growth, both when the stochastic disturbances are independent and when they are perfectly correlated for the two sub‐populations, andalso when the growth variability parameter differs between the sub‐populations.     

Método numérico para la evaluación holística del riesgo sísmico utilizando la teoría de conjuntos difusos

The fuzzy set theory offers a bridge between the symbolic and numerical processing, allowing managing qualitative concepts useful in the decision-making process related to the seismic risk management and, in general, to the disaster risk management. Its use in the seismic risk evaluation is necessary in the cases where the data required to apply a conventional method of assessing risk are not available or are insufficient. One possible solution, considered in this article, is to replace the missing information by expert opinions and to process the resulting qualitative variables and linguistic qualifications instead of numerical values. This process is based on the fuzzy set theory. In order to achieve an effective management, the risk must be defined as the potential physical, economic, social and environmental consequences which occur due to hazards in a given period of time. From this holistic perspective and using the fuzzy set theory, the proposed numerical method calculates a level of the physical risk and level of the aggravating conditions related to social fragility and to the lack of resilience, to determine a total risk level. In the article are included two examples of application of the proposed method and the obtained results are compared with those corresponding to a conventional method of holistic evaluation.     

THE ECONOMICS OF CONFLICTING INTERESTS: NORTHERN BALTIC SALMON FISHERY ADAPTION TO GRAY SEAL ABUNDANCE

The successful conservation of gray seals has led to increased seal‐induced damage to the Atlantic salmon fisheries of the Baltic Sea. This paper addresses the conflict between the conservation of a formerly endangered species, the gray seal, and professional fishermen, whose livelihoods are affected by both seal‐induced damage and salmon fisheries management. We develop a bioeconomic model that incorporates the age structure of Atlantic salmon and gray seal populations. To determine the social optimum, we maximize the discounted net present value of the trap net fishery, taking into account the presence of seals in the form of seal‐induced losses, which we describe using a damage function. By choosing the optimal combination of fishing gear over time, we obtain the socially optimal fishing efforts, salmon stock size, and salmon catch. In addition, we study the private effects of introducing a technology subsidy aimed at mitigating the seal‐salmon conflict. The results suggest that technological adaptation would effectively reduce the cause of the conflict, while a technology subsidy encouraging such adaptation would shift the economic responsibility from individual fishermen to the broader public.     

Nonlinear finite element analyses of concrete bridge joint systems subjected to seismic actions

Following widespread damage to bridge joints in the San Francisco region from the 1989 Loma Prieta earthquake, the necessity for establishing an alternative method for seismic design of bridge joints was identified. Recognizing that conventional joint design practice based directly on shear forces results in congested reinforcement details, which are difficult to implement in practice, a rational design procedure was sought through large-scale testing of bridge joint systems and subsequent finite element and strut-and-tie analyses. The finite element part of the study is presented in this paper, which focuses on (a) identification of compression force flow and thus the load path across the joint, (b) examination of an efficient joint force transfer model, and (c) influence of cap beam prestressing. Combining the experimental and analytical results, a joint design method has been established in which reduction of joint reinforcement was achieved by treating joint shear as part of the complete force transfer across the joint, rather than as an independent action. The proposed design approach has been validated in a laboratory test on a full-scale multiple-column bridge bent.     

递规效用,污染和随机经济增长

本文在一个带有污染的随机内生增长模型中引入了递规效用.证明了在一定的宏观均衡条件下,主要经济指标的均衡值可唯一的决定于模型参数.并证明了许多模型参数对福利和经济增长的影响与跨时替代弹性而不是风险厌恶系数有关.     

考虑地震力方向的倾倒式危岩可靠度分析

侧向卸荷作用导致高陡边坡发育大量危岩体,危岩体在降雨、地震作用下易发生失稳破坏,判断其失稳的概率对危岩防治具有重要意义.该文以倾倒式危岩体为例,建立了考虑地震力作用方向下最危险方向的物理力学模型,利用函数极值理论建立了最危险地震力作用方向的表达式,结合可靠度理论建立了倾倒式危岩体可靠度指标、失稳概率表达式及判断标准.通过对重庆南川金佛山危岩体案例的分析表明:工况1的最危险地震力作用方向与水平方向的偏转角θ在5°范围内,工况2的最危险地震力作用方向与水平方向的偏转角θ在10°左右;危岩体最危险作用方向不是一个固定角,其值与危岩体形态、裂隙水作用力大小、岩腔深度等有关.当主控结构面裂隙长度较小时,最危险地震力作用方向与水平夹角很小,随主控结构面裂隙长度增大,最危险地震力作用方向与水平夹角显著增大;危岩体失稳概率随主控结构面裂隙长度增加而增大,工况2较工况1增大幅度更明显.该研究成果对危岩的防灾减灾具有重要意义.