The effects of implementation delay on decision-making under uncertainty

In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and present a direct solution method that differs from its counterparts that use quasi-variational inequalities. Our method is direct, in the sense that we do not have to guess the form of the solution and we do not have to prove that the conjectured solution satisfies conditions of a verification lemma. Second, by employing this direct solution method, we solve two examples that involve decision delays: an exchange rate intervention problem and a problem of labor force optimization.     

Hedging life insurance with pure endowments

We extend the work of Milevsky et al., [Milevsky, M.A., Promislow, S.D., Young, V.R., 2005. Financial valuation of mortality risk via the instantaneous Sharpe ratio (preprint)] and Young, [Young, V.R., 2006. Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio (preprint)] by pricing life insurance and pure endowments together. We assume that the company issuing the life insurance and pure endowment contracts requires compensation for their mortality risk in the form of a pre-specified instantaneous Sharpe ratio. We show that the price P^m,n for m life insurances and n pure endowments is less than the sum of the price P^m,0 for m life insurances and the price P^0,n for n pure endowments. Thereby, pure endowment contracts serve as a hedge against the (stochastic) mortality risk inherent in life insurance, and vice versa.     

Elasto-plastic earthquake response of arch dams including fluid–structure interaction by the Lagrangian approach

Elasto-plastic earthquake response of arch dams including fluid–structure interaction by the Lagrangian approach is mainly investigated in this study. To this aim, three-dimensional eight-noded version of Lagrangian fluid finite element including the effects of compressible wave propagation and surface sloshing motion, and three-dimensional version of Drucker–Prager model based on associated flow rule assumption were programmed in FORTRAN language by authors and incorporated into the program NONSAP. Two new components added into the NONSAP were tested on a simple fluid tank and a simple fluid–structure system and obtained very reasonable results.     

Optimal time to change premiums

The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company’s interest to detect the change time as soon as possible in order to re-evaluate a new fair value for premiums to keep its profit level the same. This is equivalent to a problem in which the intensity and the jump size change at the same time but the intensity changes to a random variable with a know distribution. This problem becomes an optimal stopping problem for a Markovian sufficient statistic. Here, a special case of this problem is solved, in which the rate of the arrivals moves up to one of two possible values, and the Markovian sufficient statistic is two-dimensional. This work was partially supported by the US Army Pantheon Project and National Science Foundation under grant DMS-0604491.     

Optimizing venture capital investments in a jump diffusion model

We study two practical optimization problems in relation to venture capital investments and/or Research and Development (R&D) investments. In the first problem, given the amount of the initial investment and the cash flow structure at the initial public offering (IPO), the venture capitalist wants to maximize overall discounted cash flows after subtracting subsequent investments, which keep the invested company solvent. We describe this problem as a mixture of singular stochastic control and optimal stopping problems. The second problem is concerned with optimal dividend policy. Rather than selling the company at an IPO, the investor may want to harvest technological achievements in the form of dividend when it is appropriate. The optimal control policy in this problem is a mixture of singular and impulse controls. E. Bayraktar was supported in part by the National Science Foundation, under grant DMS-0604491.     

Estimation of stochastic nonlinear dynamic response of rock-fill dams with uncertain material parameters for non-stationary random seismic excitation

This research investigates the effect of uncertain material parameters on the stochastic, dynamic response of a rock-fill dam-foundation system subjected to non-stationary random excitation. The uncertain material parameter of particular interest is the shear modulus, developed from a lognormal distribution model. The stochastic seismic response model of the dam-foundation system, with uncertain material parameters and subjected to random loads is the result of a Monte Carlo simulation method. The nonlinear behavior model arises from an equivalent linear method, which considers the nonlinear variation of soil shear modulus and soil damping as a function of shear strain. Specification of the non-stationary stochastic process arises from a simulation method, which generates artificial earthquake accelerograms obtained from the product of a deterministic function of time and a stationary process. The artificial earthquake ground acceleration records reflect the characteristics of soft, medium and firm soil types. Comparison of the numerical results from these approaches provides stochasticity in earthquake seismic excitation and randomness in material parameter (shear modulus) cases. Further, the results indicate that both these cases generally influence the nonlinear dynamic response of rock-fill dams to a non-stationary seismic excitation.     

Measuring the relative efficiency of quality management practices in Turkish public and private universities

Using data envelopment analysis (DEA) in conjunction with stochastic frontier analysis (SFA), the aim of this study was to measure the relative efficiency of quality management (QM) practices in Turkish public and private universities. Based on the extant literature, a set of nine critical QM factors and seven performance indicators for Turkish universities were identified as input and output variables, respectively. SFA confirmed the existence of significant relationships between QM factors and performance indicators. DEA findings indicated that private universities with higher levels of QM efficiency on stakeholder-focus indicators achieved better performance in terms of fulfilling the expectations of their stakeholders. In contrast, public universities were more successful in managing QM practices for a superior teaching and research performance. Finally, after eliminating the managerial discrepancies, no significant structural efficiency difference was found between these two groups of universities through stakeholder-focus model, though some significant variation was noted in both factor-efficiency and total-efficiency models. As for total-efficiency model, we may infer that the structural differences found in favour of public universities for factor-efficiencies are counterbalanced by private universities which tend to focus more on their stakeholders in managing QM applications.     

Dynamic Characteristics of a Prototype Arch Dam

This study determines the dynamic characteristics of a prototype arch dam-reservoir-foundation system using Operational Modal Analysis method. Achievement of this purpose involved construction of a prototype arch dam-reservoir-foundation system under laboratory conditions. Ambient vibration tests on the arch dam model identified its natural frequencies, mode shapes, and damping ratios. Natural excitations such as small impact loads vibrated to arch dam. Sensitivity accelerometers which were placed on the dam’s crest collected signals in measurements. Measurements were recorded for empty and full reservoirs. Operational Modal Analysis software processed signals which were collected from the ambient vibration tests. Enhanced Frequency Domain Decomposition technique estimated dynamic characteristics of the dam. Results showed that there was an approximate 20–25% difference between natural frequencies related to empty and full reservoirs.     

The effect of concrete slab–rockfill interface behavior on the earthquake performance of a CFR dam

Earthquake response of the concrete slab is mostly depended upon its conjunction with rockfill. This study aims to reveal the effect of concrete slab–rockfill interface behavior on the earthquake performance of a concrete-faced rockfill dam considering friction contact and welded contact. Friction contact is provided by using interface elements with five numbers of shear stiffness values. 2D finite element model of Torul concrete-faced rockfill dam is used for this purpose. Linear and materially non-linear time-history analyses considering dam–reservoir interaction are performed using ANSYS. Reservoir water is modeled using fluid finite elements by the Lagrangian approach. The Drucker–Prager model is preferred for concrete slab and rockfill in non-linear analyses. Horizontal component of 1992 Erzincan earthquake with peak ground acceleration of 0.515g is used in analyses. The maximum and minimum displacements and principal stresses are shown by the height of the concrete slab and earthquake performance of the dam is investigated considering different joint conditions for empty and full reservoir cases. In addition, potential damage situations of concrete slab are evaluated.     

Characterization of silk fibroin/hyaluronic acid polyelectrolyte complex (PEC) films

This study aimed the characterization of the films casted from the aqueous mixtures of the pH induced complexes between silk fibroin (SF) and hyaluronic acid (HA). The insoluble and transparent films were subjected to scanning electron microscopy (SEM) analyses to show the morphological changes. Thermal analysis of complex films was determined by a differential scanning calorimeter (DSC). The changes in the crystalline state were monitored by X-ray diffractometer (XRD) and Fourier transform infrared spectroscopy (FTIR). It was shown that the complexation between HA and SF was dominantly induced by pH. It was shown that the complex films comprised mixtures of crystalline and non-crystalline regions.