871 resultados para Conditional-value-at-risk assessment


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We present a general multistage stochastic mixed 0-1 problem where the uncertainty appears everywhere in the objective function, constraints matrix and right-hand-side. The uncertainty is represented by a scenario tree that can be a symmetric or a nonsymmetric one. The stochastic model is converted in a mixed 0-1 Deterministic Equivalent Model in compact representation. Due to the difficulty of the problem, the solution offered by the stochastic model has been traditionally obtained by optimizing the objective function expected value (i.e., mean) over the scenarios, usually, along a time horizon. This approach (so named risk neutral) has the inconvenience of providing a solution that ignores the variance of the objective value of the scenarios and, so, the occurrence of scenarios with an objective value below the expected one. Alternatively, we present several approaches for risk averse management, namely, a scenario immunization strategy, the optimization of the well known Value-at-Risk (VaR) and several variants of the Conditional Value-at-Risk strategies, the optimization of the expected mean minus the weighted probability of having a "bad" scenario to occur for the given solution provided by the model, the optimization of the objective function expected value subject to stochastic dominance constraints (SDC) for a set of profiles given by the pairs of threshold objective values and either bounds on the probability of not reaching the thresholds or the expected shortfall over them, and the optimization of a mixture of the VaR and SDC strategies.

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This paper presents a harmonised framework of sediment quality assessment and dredging material characterisation for estuaries and port zones of North and South Atlantic. This framework, based on the weight-of-evidence approach, provides a structure and a process for conducting sediment/dredging material assessment that leads to a decision. The main structure consists of step 1 (examination of available data); step 2 (chemical characterisation and toxicity assessment); decision 1 (any chemical level higher than reference values? are sediments toxic?); step 3 (assessment of benthic community structure); step 4 (integration of the results); decision 2 (are sediments toxic or benthic community impaired?); step 5 (construction of the decision matrix) and decision 3 (is there environmental risk?). The sequence of assessments may be interrupted when the information obtained is judged to be sufficient for a correct characterisation of the risk posed by the sediments/dredging material. This framework brought novel features compared to other sediment/dredging material risk assessment frameworks: data integration through multivariate analysis allows the identification of which samples are toxic and/or related to impaired benthic communities; it also discriminates the chemicals responsible for negative biological effects; and the framework dispenses the use of a reference area. We demonstrated the successful application of this framework in different port and estuarine zones of the North (Gulf of Cadiz) and South Atlantic (Santos and Paranagua Estuarine Systems).

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The service of a critical infrastructure, such as a municipal wastewater treatment plant (MWWTP), is taken for granted until a flood or another low frequency, high consequence crisis brings its fragility to attention. The unique aspects of the MWWTP call for a method to quantify the flood stage-duration-frequency relationship. By developing a bivariate joint distribution model of flood stage and duration, this study adds a second dimension, time, into flood risk studies. A new parameter, inter-event time, is developed to further illustrate the effect of event separation on the frequency assessment. The method is tested on riverine, estuary and tidal sites in the Mid-Atlantic region. Equipment damage functions are characterized by linear and step damage models. The Expected Annual Damage (EAD) of the underground equipment is further estimated by the parametric joint distribution model, which is a function of both flood stage and duration, demonstrating the application of the bivariate model in risk assessment. Flood likelihood may alter due to climate change. A sensitivity analysis method is developed to assess future flood risk by estimating flood frequency under conditions of higher sea level and stream flow response to increased precipitation intensity. Scenarios based on steady and unsteady flow analysis are generated for current climate, future climate within this century, and future climate beyond this century, consistent with the WWTP planning horizons. The spatial extent of flood risk is visualized by inundation mapping and GIS-Assisted Risk Register (GARR). This research will help the stakeholders of the critical infrastructure be aware of the flood risk, vulnerability, and the inherent uncertainty.

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La estimación y gestión del riesgo con la evolución del mercado ha tomado gran relevancia, principalmente en el sector financiero y de capitales, no obstante las variables macroeconómicas que afectan el riesgo en el tiempo son cada vez más volátiles y generan un mayor nivel de incertidumbre; se puede presentar en igual medida o con un mayor impacto en empresas del sector real, principalmente en aquellas cuyas condiciones de valoración causan un mayor impacto para los inversionistas, tal es el caso de las Asociaciones Público Privadas, mecanismos de contratación que vinculan al sector privado con el público en el desarrollo de proyectos de mayor nivel, donde se requiere establecer la valoración y cuantificación del riesgo que cada una de las partes está dispuesto a asumir -- Hoy por hoy existen métodos de medición sofisticados que permiten la estimación del Value at Risk (VaR), los cuales han sido desarrollados principalmente por el sistema financiero, sin contar con una aplicación en el sector real -- Es por eso que surge la necesidad de esta investigación para obtener una metodología que permita estimar el VaR bajo los conceptos teóricos de economía, estadística y simulación

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The project goal was to determine plant operations and maintenance worker’s level of exposure to mercury during routine and non-routine (i.e. turnarounds and inspections) maintenance events in eight gas processing plants. The project team prepared sampling and analysis plans designed to each plant’s process design and scheduled maintenance events. Occupational exposure sampling and monitoring efforts were focused on the measurement of mercury vapor concentration in worker breathing zone air during specific maintenance events including: pipe scrapping, process filter replacement, and process vessel inspection. Similar exposure groups were identified and worker breathing zone and ambient air samples were collected and analyzed for total mercury. Occupational exposure measurement techniques included portable field monitoring instruments, standard passive and active monitoring methods and an emerging passive absorption technology. Process sampling campaigns were focused on inlet gas streams, mercury removal unit outlets, treated gas, acid gas and sales gas. The results were used to identify process areas with increased potential for mercury exposure during maintenance events. Sampling methods used for the determination of total mercury in gas phase streams were based on the USEPA Methods 30B and EPA 1631 and EPA 1669. The results of four six-week long sampling campaigns have been evaluated and some conclusions and recommendations have been made. The author’s role in this project included the direction of all field phases of the project and the development and implementation of the sampling strategy. Additionally, the author participated in the development and implementation of the Quality Assurance Project Plan, Data Quality Objectives, and Similar Exposure Groups identification. All field generated data was reviewed by the author along with laboratory reports in order to generate conclusions and recommendations.

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Current procedures for flood risk estimation assume flood distributions are stationary over time, meaning annual maximum flood (AMF) series are not affected by climatic variation, land use/land cover (LULC) change, or management practices. Thus, changes in LULC and climate are generally not accounted for in policy and design related to flood risk/control, and historical flood events are deemed representative of future flood risk. These assumptions need to be re-evaluated, however, as climate change and anthropogenic activities have been observed to have large impacts on flood risk in many areas. In particular, understanding the effects of LULC change is essential to the study and understanding of global environmental change and the consequent hydrologic responses. The research presented herein provides possible causation for observed nonstationarity in AMF series with respect to changes in LULC, as well as a means to assess the degree to which future LULC change will impact flood risk. Four watersheds in the Midwest, Northeastern, and Central United States were studied to determine flood risk associated with historical and future projected LULC change. Historical single framed aerial images dating back to the mid-1950s were used along with Geographic Information Systems (GIS) and remote sensing models (SPRING and ERDAS) to create historical land use maps. The Forecasting Scenarios of Future Land Use Change (FORE-SCE) model was applied to generate future LULC maps annually from 2006 to 2100 for the conterminous U.S. based on the four IPCC-SRES future emission scenario conditions. These land use maps were input into previously calibrated Soil and Water Assessment Tool (SWAT) models for two case study watersheds. In order to isolate effects of LULC change, the only variable parameter was the Runoff Curve Number associated with the land use layer. All simulations were run with daily climate data from 1978-1999, consistent with the 'base' model which employed the 1992 NLCD to represent 'current' conditions. Output daily maximum flows were converted to instantaneous AMF series and were subsequently modeled using a Log-Pearson Type 3 (LP3) distribution to evaluate flood risk. Analysis of the progression of LULC change over the historic period and associated SWAT outputs revealed that AMF magnitudes tend to increase over time in response to increasing degrees of urbanization. This is consistent with positive trends in the AMF series identified in previous studies, although there are difficulties identifying correlations between LULC change and identified change points due to large time gaps in the generated historical LULC maps, mainly caused by unavailability of sufficient quality historic aerial imagery. Similarly, increases in the mean and median AMF magnitude were observed in response to future LULC change projections, with the tails of the distributions remaining reasonably constant. FORE-SCE scenario A2 was found to have the most dramatic impact on AMF series, consistent with more extreme projections of population growth, demands for growing energy sources, agricultural land, and urban expansion, while AMF outputs based on scenario B2 showed little changes for the future as the focus is on environmental conservation and regional solutions to environmental issues.

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This is a redacted version of the the final thesis. Copyright material has been removed to comply with UK Copyright Law.

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This chart gives the long term effects of radon on smokers and non-smokers.

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The AntiPhospholipid Syndrome (APS) is an acquired autoimmune disorder induced by high levels of antiphospholipid antibodies that cause arterial and veins thrombosis, as well as pregnancy-related complications and morbidity, as clinical manifestations. This autoimmune hypercoagulable state, usually known as Hughes syndrome, has severe consequences for the patients, being one of the main causes of thrombotic disorders and death. Therefore, it is required to be preventive; being aware of how probable is to have that kind of syndrome. Despite the updated of antiphospholipid syndrome classification, the diagnosis remains difficult to establish. Additional research on clinically relevant antibodies and standardization of their quantification are required in order to improve the antiphospholipid syndrome risk assessment. Thus, this work will focus on the development of a diagnosis decision support system in terms of a formal agenda built on a Logic Programming approach to knowledge representation and reasoning, complemented with a computational framework based on Artificial Neural Networks. The proposed model allows for improving the diagnosis, classifying properly the patients that really presented this pathology (sensitivity higher than 85%), as well as classifying the absence of APS (specificity close to 95%).