Sample path large and moderate deviations for risk model with delayed claims

Sample path large and moderate deviation principles for Markov modulated risk models with delayed claims are proved by the exponential martingale method. As applications, asymptotic estimates and exponential bounds of the ruin probability are also studied.     

Recent applications of theory of the firm under uncertainty

This paper provides a comprehensive synthesis and analysis of the current and recent empirical implementations of the theory of the firm under uncertainty, including multiple sources of uncertainty. In so doing, it identifies the major estimation obstacles and it offers the future empirical researcher ways to derive simple estimation procedures under multiple sources uncertainty.     

Using a risk-based approach to project scheduling: A case illustration from semiconductor manufacturing

This paper introduces a risk-based optimization method to schedule projects. The method uses risk mitigation and optimal control techniques to minimize variables such as the project duration or the cost estimate at completion. Mitigation actions reduce the risk impacts that may affect the system. A model predictive control approach is used to determine the set of mitigation actions to be executed and the time in which they are taken. A real-life project in the field of semiconductor manufacturing has been taken as an example to show the benefits of the method in a deterministic case and a Monte Carlo simulation has also been carried out.     

Constant dividend barrier in a risk model with interclaim-dependent claim sizes

The risk model with interclaim-dependent claim sizes proposed by Boudreault et al. [Boudreault, M., Cossette, H., Landriault, D., Marceau, E., 2006. On a risk model with dependence between interclaim arrivals and claim sizes. Scand. Actur. J., 265-285] is studied in the presence of a constant dividend barrier. An integro-differential equation for some Gerber-Shiu discounted penalty functions is derived. We show that its solution can be expressed as the solution to the Gerber-Shiu discounted penalty function in the same risk model with the absence of a barrier and a combination of two linearly independent solutions to the associated homogeneous integro-differential equation. Finally, we analyze the expected present value of dividend payments before ruin in the same class of risk models. An homogeneous integro-differential equation is derived and then solved. Its solution can be expressed as a different combination of the two fundamental solutions to the homogeneous integro-differential equation associated to the Gerber-Shiu discounted penalty function.     

Applications of a multi-state risk factor/mortality model in life insurance

Mortality rates are known to depend on socio-economic and behavioral risk factors, and actuarial calculations for life insurance policies usually reflect this. It is typically assumed, however, that these risk factors are observed only at policy issue, and the impact of changes that occur later is not considered. In this paper, we present a discrete-time, multi-state model for risk factor changes and mortality. It allows one to more accurately describe mortality dynamics and quantify variability in mortality. This model is extended to reflect health status and then used to analyze the impact of selective lapsation of life insurance policies and to predict mortality under reentry term insurance.     

Tail asymptotics of random sum and maximum of log-normal risks

In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandayapa (2008) also for the more general setup of random sums and random maximum the principle of a single big jump holds. We investigate both the log-normal sequences and some related dependence structures motivated by stationary Gaussian sequences.     

Issues Mapping: A problem structuring method for addressing science and technology conflicts

There are new opportunities for the application of problem structuring methods to address science and technology risk conflicts through stakeholder dialogue. Most previous approaches to addressing risk conflicts have been developed from a traditional risk communication perspective, which tends to construct engagement between stakeholders based on the assumption that scientists evaluate technologies using facts, and lay participants do so based on their values. ‘Understanding the facts’ is generally privileged, so the value framings of experts often remain unexposed, and the perspectives of lay participants are marginalized. When this happens, risk communication methodologies fail to achieve authentic dialogue and can exacerbate conflict. This paper introduces ‘Issues Mapping’, a problem structuring method that enables dialogue by using visual modelling techniques to clarify issues and develop mutual understanding between stakeholders. A case study of the first application of Issues Mapping is presented, which engaged science and community protagonists in the genetic engineering debate in New Zealand. Participant and researcher evaluations suggest that Issues Mapping helped to break down stereotypes of both scientists and environmental activists; increased mutual understanding; reduced conflict; identified common ground; started building trust; and supported the emergence of policy options that all stakeholders in the room could live with. The paper ends with some reflections and priorities for further research.     

基于风险理念的黄土滑坡调查与编图研究

滑坡风险管理在国外已成为缓减地质灾害损失的重要手段,我国(香港地区除外)在滑坡风险管理方面起步较晚,尚处于探索阶段,目前正在开展的地质灾害详细调查项目尚没有很好地采用国际上流行的风险管理的理念和技术方法。本文以国土资源大调查部署实施的延安市宝塔区地质灾害详细调查示范项目为例,借鉴国际滑坡和工程边坡联合技术委员会制订的《土地利用规划滑坡易发性、危险性、风险区划指南》^[1] 及相关最新文献^[2~7],剖析了《滑坡崩塌泥石流灾害详细调查规范》和地质灾害详细调查项目实施中存在的问题及其与风险管理之间的差距。认为我国目前开展的地质灾害详细调查总体上属于中比例尺,还没有达到详细比例尺; 调查精度包括了高精度、中精度和低精度3种精度层次。提出了基于GIS、DEM、RS、地面调查等技术方法的黄土滑坡调查与编图的工作思路和技术路线。从1 :5万滑坡调查与风险编图、1 :1万滑坡调查与风险编图、村镇及重要基础设施滑坡调查与风险评估、典型滑坡点风险调查与评估4个方面,总结了基于风险管理理念的延安市宝塔区黄土滑坡调查与风险编图实例,旨在为《滑坡崩塌泥石流灾害详细调查规范》的修编和地质灾害详细调查项目更好地实施提供借鉴。     

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。     

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.