The connection between distortion risk measures and ordered weighted averaging operators

Distortion risk measures summarize the risk of a loss distribution by means of a single value. In fuzzy systems, the Ordered Weighted Averaging (OWA) and Weighted Ordered Weighted Averaging (WOWA) operators are used to aggregate a large number of fuzzy rules into a single value. We show that these concepts can be derived from the Choquet integral, and then the mathematical relationship between distortion risk measures and the OWA and WOWA operators for discrete and finite random variables is presented. This connection offers a new interpretation of distortion risk measures and, in particular, Value-at-Risk and Tail Value-at-Risk can be understood from an aggregation operator perspective. The theoretical results are illustrated in an example and the degree of orness concept is discussed.

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

Web services to link interlibrary software with OCLC WorldShare

Purpose - This article describes the use of web services to interconnect the GTBib interlibrary loan program with the OCLC WorldShare platform. Design/methodology/approach - We describe the current problem of duplication of procedures in libraries that have added their collections to the OCLC WorldCat catalogue in recent years and are therefore more likely to receive interlibrary loan requests through the WorldShare Platform. Findings - A solution that uses web services to insert and retrieve requests between the two systems is presented. Autonomous agents periodically check the status of the requests and keep them updated and synchronized. These agents also inform the library staff of any variation or inconsistency that is detected. Practical Implications - This technology reduces process management time by making it unnecessary to introduce the request data in both systems. Agents are used to check the consistency of statuses between the two systems, thus avoiding errors and omissions and improving the efficiency of the whole interlibrary loan process. Originality/value - This paper describes in detail the technical aspects of the solution as a reference for the development of future applications.

Public enterprise reforms and efficiency in regulated environments: the case of the postal sector

Purpose - This paper focuses on analyzing the effect that public reforms have on the efficiency of state-owned enterprises in regulated environments. Design/methodology/approach - The research is focused in the postal sector where public and private companies must obey a legal framework related to provide a universal service. The analysis is carried out using a panel of 7 European postal operators for the period 1997-2003. The activity analyzed was the letter mail division; we take as key variable the unit cost of a letter and use a translog cost function where as independent variables we include traffic levels, labor cost per employee, quality and availability of the service as well as the type of ownership (public or private). Additionally, in a second stage the geographical differences among countries are considered. Findings - Results indicate that postal operators that experienced organizational changes without being privatized, such as the Spanish and Greek operators, do not have higher unit costs than privatized postal operators like the one of Germany and the Netherlands. Moreover, we find that in all cases the operator of Ireland appear to be the most efficient. In this case restructuring process has been carried out giving an important leadership role to workers. This suggests us that labor culture could be a key variable to study when analyzing reform processes in public enterprises. Originality/value - Our findings show that in a regulated environment like in the postal sector, public and private companies can obtain similar efficiency levels in term of unit costs.

Nonparametric estimation of Value-at-Risk

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal bandwidth selection methods that have a direct expression for the smoothing parameter. The bandwidth can accommodate to the given quantile level. The procedure is useful for large data sets and improves quantile estimation compared to other methods in heavy tailed distributions. Implementation is straightforward and R programs are available.

On the throughput-WIP trade-off in queueing systems, diminishing returns and the threshold property: A linear programming approach

We present a new unifying framework for investigating throughput-WIP(Work-in-Process) optimal control problems in queueing systems,based on reformulating them as linear programming (LP) problems withspecial structure: We show that if a throughput-WIP performance pairin a stochastic system satisfies the Threshold Property we introducein this paper, then we can reformulate the problem of optimizing alinear objective of throughput-WIP performance as a (semi-infinite)LP problem over a polygon with special structure (a thresholdpolygon). The strong structural properties of such polygones explainthe optimality of threshold policies for optimizing linearperformance objectives: their vertices correspond to the performancepairs of threshold policies. We analyze in this framework theversatile input-output queueing intensity control model introduced byChen and Yao (1990), obtaining a variety of new results, including (a)an exact reformulation of the control problem as an LP problem over athreshold polygon; (b) an analytical characterization of the Min WIPfunction (giving the minimum WIP level required to attain a targetthroughput level); (c) an LP Value Decomposition Theorem that relatesthe objective value under an arbitrary policy with that of a giventhreshold policy (thus revealing the LP interpretation of Chen andYao's optimality conditions); (d) diminishing returns and invarianceproperties of throughput-WIP performance, which underlie thresholdoptimality; (e) a unified treatment of the time-discounted andtime-average cases.

A gated single-photon avalanche diode array fabricated in a conventional CMOS process for triggered systems

A bidimensional array based on single-photon avalanche diodes for triggered imaging systems is presented. The diodes are operated in the gated mode of acquisition to reduce the probability to detect noise counts interfering with photon arrival events. In addition, low reverse bias overvoltages are used to lessen the dark count rate. Experimental results demonstrate that the prototype fabricated with a standard HV-CMOS process gets rid of afterpulses and offers a reduced dark count probability by applying the proposed modes of operation. The detector exhibits a dynamic range of 15 bits with short gated"on" periods of 10ns and a reverse bias overvoltage of 1.0V.

Content value chains modelling using a copyright ontology

Existing digital rights management (DRM) systems, initiatives like Creative Commons or research works as some digital rights ontologies provide limited support for content value chains modelling and management. This is becoming a critical issue as content markets start to profit from the possibilities of digital networks and the World Wide Web. The objective is to support the whole copyrighted content value chain across enterprise or business niches boundaries. Our proposal provides a framework that accommodates copyright law and a rich creation model in order to cope with all the creation life cycle stages. The dynamic aspects of value chains are modelled using a hybrid approach that combines ontology-based and rule-based mechanisms. The ontology implementation is based on Web Ontology Language and Description Logic (OWL-DL) reasoners, are directly used for license checking. On the other hand, for more complex aspects of the dynamics of content value chains, rule languages are the choice.

Beyond Value-at-Risk : GlueVaR Distortion Risk Measures

We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measures. Analytical closed-form expressions are shown for the most frequently used distribution functions in financial and insurance applications. The relationship between Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) is explained. Tail-subadditivity is investigated and it is shown that some GlueVaR risk measures satisfy this property. An interpretation in terms of risk attitudes is provided and a discussion is given on the applicability in non-financial problems such as health, safety, environmental or catastrophic risk management