Revenue in contests with many participants

We show that in a contest with a single prize, the expected effort made by the k$k$th highest valuation participant bounds the sum of the expected efforts made by all of the participants with valuations less than the k$k$th highest valuations. We also show that in the limit case of a contest with m$m$ prizes, the expected effort made by the k$k$th highest valuation participant when the bidders are risk-neutral is greater than the expected effort in the risk-averse case.     

Sharing risk through concession contracts

In this paper we model concession contracts between a public and a private party, under dynamic uncertainty arising both from the volatility of the cash flow generated by the project and by the strategic behaviour of the two parties. Under these conditions we derive three notions of equilibrium price and apply the model to a case study for one of the most important concession contracts in Italy.     

An integrated operation module for individual risk management

In this study, we used the cumulative prospect theory to propose the individual risk management process (IRM) which includes risk analysis and risk response stages. According to an individual’s preferential structure, the process has been developed into an operational module which includes two sub-modules. From this, the individual’s risk level for the confronted risk can be identified from the risk analysis, while the response strategies can be assessed at the risk response stage. Therefore, optimal response strategies can be recommended based on individual risk tolerance levels.     

永泰县城峰镇旗山小区后山滑坡现场应急调查及处置分析

2010年5月20日,受连续降雨影响,福建省永泰县城峰镇旗山小区后山发现有滑坡地质灾害隐患,后山中下部产生多条35~80m长拉裂缝,坡脚崩塌不断,潜在滑坡规模约8×10⁴m³,存在继续下滑的危险,情况十分危急,威胁坡脚居民2565人的生命和约5.38亿元财产。本文在对灾害现场进行详细地质调查的基础上,结合现场测绘、监测等手段,对该滑坡体的基本特征进行了较深入的调查研究,对滑坡发生及成灾原因进行了初步分析。结果表明,滑坡区地形条件及岩土体特征是滑坡发生的基本条件,连续降雨的饱水加载作用以及雨水沿节理裂隙结构面的下渗软化作用是诱发滑坡发生的直接原因。同时,根据滑坡险情特征,提出了应处置建议及应急卸载措施。最后,根据监测结果信息化指导应急卸载工作,确保了施工安全及受灾群众的生命财产安全。本次成功排险,对指导福建海沿地区地质灾害应急处置工作提供了科学依据。     

Minimizing the expected discounted time to ruin for a company managing N distinct funds with a “superclaims”process

1.IntroductionOne of the central problems in classical ruin theory of a( non- life) insurance businesshas been the determination of the initial reserve size to ensure minimal probability of ruinover some time interval.If the comulative claims process X ( t) is compouns Possion,and ifthe premium rate,p.is a constant,then for an initial reserve u,the( Levy) processR( t) =u + pt- X( t) ( 1 )defines the‘risk- reserve’ or state of the company attime t.the company is ruined at epoch T=T( u) wher…     

Decision making under uncertainty with fuzzy targets

This paper discusses the issue of how to use fuzzy targets in the target-based model for decision making under uncertainty. After introducing a target-based interpretation of the expected value on which it is shown that this model implicitly assumes a neutral behavior on attitude about the target, we examine the issue of using fuzzy targets considering different attitudes about the target selection of the decision maker. We also discuss the problem for situations on which the decision maker’s attitude about target may change according to different states of nature. Especially, it is shown that the target-based approach can provide an unified way for solving the problem of fuzzy decision making with uncertainty about the state of nature and imprecision about payoffs. Several numerical examples are given for illustration of the discussed issues.     

Wireless network capacity management: A real options approach

This paper applies financial option valuation methods to new wireless network capacity investment decision timing. In particular, we consider the case of network capacity for cellular telephone service. Given a cluster of base stations (with a certain traffic capacity per base station), we determine when it is optimal to increase capacity for each of the base stations contained in the cluster. We express this in terms of the fraction of total cluster capacity in use, i.e. we calculate the optimal time to upgrade in terms of the ratio of observed usage to existing capacity. We study the optimal decision problem of adding new capacity in the presence of stochastic wireless demand for services. A four factor algorithm is developed, based on a real options formulation. Numerical examples are provided to illustrate various aspects of the model.     

A stochastic model for risk management in global supply chain networks

With the increasing emphasis on supply chain vulnerabilities, effective mathematical tools for analyzing and understanding appropriate supply chain risk management are now attracting much attention. This paper presents a stochastic model of the multi-stage global supply chain network problem, incorporating a set of related risks, namely, supply, demand, exchange, and disruption. We provide a new solution methodology using the Moreau–Yosida regularization, and design an algorithm for treating the multi-stage global supply chain network problem with profit maximization and risk minimization objectives.