Risk sharing and the household collective model

When the joint assumption of optimal risk sharing and coincidence of beliefs is added to the collective model of Browning and Chiappori (1998) income pooling and symmetry of the pseudo-Hicksian matrix are shown to be restored. Because these are also the features of the unitary model usually rejected in empirical studies one may argue that these assumptions are at odds with evidence. We argue that this needs not be the case. The use of cross-section data to generate price and income variation is based Oil a definition of income pooling or symmetry suitable for testing the unitary model, but not the collective model with risk sharing. AIso, by relaxing assumptions on beliefs, we show that symmetry and income pooling is lost. However, with usual assumptions on existence of assignable goods, we show that beliefs are identifiable. More importantly, if di:fferences in beliefs are not too extreme, the risk sharing hypothesis is still testable.

Modeling perceived collision risk in port water navigation

An increase in the likelihood of navigational collisions in port waters has put focus on the collision avoidance process in port traffic safety. The most widely used on-board collision avoidance system is the automatic radar plotting aid which is a passive warning system that triggers an alert based on the pilot’s pre-defined indicators of distance and time proximities at the closest point of approaches in encounters with nearby vessels. To better help pilot in decision making in close quarter situations, collision risk should be considered as a continuous monotonic function of the proximities and risk perception should be considered probabilistically. This paper derives an ordered probit regression model to study perceived collision risks. To illustrate the procedure, the risks perceived by Singapore port pilots were obtained to calibrate the regression model. The results demonstrate that a framework based on the probabilistic risk assessment model can be used to give a better understanding of collision risk and to define a more appropriate level of evasive actions.

Risk taking by motorcyclists : rider training and stages of change

Motorcyclists in Australia have been found to be 30 times more likely to be killed per kilometre travelled than car occupants and 40 times more likely to be seriously injured. One approach to preventing motorcycle-related injury is through training and education. While there is traditionally a major focus on developing riding skills during training for motorcyclists, there is also a need for training to promote safe riding to reduce subsequent risk taking. The Transtheoretical Model, commonly known as the ‘Stages of Change’ model, provides a rationale to support incremental behaviour change for risky riding that may be facilitated through motorcycle rider training and education. A sample of 438 learner motorcyclists attended a rider training program in Queensland, Australia, with the stages of change to adopt a safe riding mindset and safe riding practices being measured upon commencement of the course (Time 1) and then again upon completion (Time 2). A small subset of the original sample (n=45) responded at follow up 24 months post training (Time 3). Consistent with the aims of training, results showed a significant shift from the contemplation stage to the subsequent stages of change for participants between Time 1 and Time 2. Progression to the later stages in the model was found for the subset of participants that responded at the Time 3 follow up. Issues of questionnaire design and the utility of the Transtheoretical Model for motorcycle rider training are discussed.

Real-time risk monitoring in business processes : a sensor-based approach

This article proposes an approach for real-time monitoring of risks in executable business process models. The approach considers risks in all phases of the business process management lifecycle, from process design, where risks are defined on top of process models, through to process diagnosis, where risks are detected during process execution. The approach has been realized via a distributed, sensor-based architecture. At design-time, sensors are defined to specify risk conditions which when fulfilled, are a likely indicator of negative process states (faults) to eventuate. Both historical and current process execution data can be used to compose such conditions. At run-time, each sensor independently notifies a sensor manager when a risk is detected. In turn, the sensor manager interacts with the monitoring component of a business process management system to prompt the results to process administrators who may take remedial actions. The proposed architecture has been implemented on top of the YAWL system, and evaluated through performance measurements and usability tests with students. The results show that risk conditions can be computed efficiently and that the approach is perceived as useful by the participants in the tests.

Multilevel competing risk models to evaluate the risk of nosocomial infection

Introduction Risk factor analyses for nosocomial infections (NIs) are complex. First, due to competing events for NI, the association between risk factors of NI as measured using hazard rates may not coincide with the association using cumulative probability (risk). Second, patients from the same intensive care unit (ICU) who share the same environmental exposure are likely to be more similar with regard to risk factors predisposing to a NI than patients from different ICUs. We aimed to develop an analytical approach to account for both features and to use it to evaluate associations between patient- and ICU-level characteristics with both rates of NI and competing risks and with the cumulative probability of infection. Methods We considered a multicenter database of 159 intensive care units containing 109,216 admissions (813,739 admission-days) from the Spanish HELICS-ENVIN ICU network. We analyzed the data using two models: an etiologic model (rate based) and a predictive model (risk based). In both models, random effects (shared frailties) were introduced to assess heterogeneity. Death and discharge without NI are treated as competing events for NI. Results There was a large heterogeneity across ICUs in NI hazard rates, which remained after accounting for multilevel risk factors, meaning that there are remaining unobserved ICU-specific factors that influence NI occurrence. Heterogeneity across ICUs in terms of cumulative probability of NI was even more pronounced. Several risk factors had markedly different associations in the rate-based and risk-based models. For some, the associations differed in magnitude. For example, high Acute Physiology and Chronic Health Evaluation II (APACHE II) scores were associated with modest increases in the rate of nosocomial bacteremia, but large increases in the risk. Others differed in sign, for example respiratory vs cardiovascular diagnostic categories were associated with a reduced rate of nosocomial bacteremia, but an increased risk. Conclusions A combination of competing risks and multilevel models is required to understand direct and indirect risk factors for NI and distinguish patient-level from ICU-level factors.

Prediction of the fate of oxytetracycline and oxolinic acid in a fish pond using simulation model: A preliminary study

The fate of two popular antibiotics, oxytetracycline and oxolinic acid, in a fish pond were simulated using a computational model. The VDC model, which is designed based on a model for predicting pesticide fate and transport in paddy fields, was modified to take into account the differences between the pond and the paddies as well as those between the fish and the rice plant behaviors. The pond conditions were set following the typical practice in South East Asia aquaculture. The two antibiotics were administered to the animal in the pond through medicated feed during a period of 5 days as in actual practice. Concentrations of oxytetracycline in pond water were higher than those of oxolinic acid at the beginning of the simulation. Dissipation rate of oxytetracycline is also higher as it is more readily available for degradation in the water. For the long term, oxolinic acid was present at higher concentration than oxytetracycline in pond water as well as pond sediment. The simulated results were expected to be conservative and can be useful for the lower tier assessment of exposure risk of veterinary medicine in aquaculture industry but more data are needed for the complete validation of the model.

Risk Acceptance in the Furniture Sector: Analysis of Acceptance Level and Relevant Influence Factors

Risk acceptance has been broadly discussed in relation to hazardous risk activities and/or technologies. A better understanding of risk acceptance in occupational settings is also important; however, studies on this topic are scarce. It seems important to understand the level of risk that stakeholders consider sufficiently low, how stakeholders form their opinion about risk, and why they adopt a certain attitude toward risk. Accordingly, the aim of this study is to examine risk acceptance in regard to occupational accidents in furniture industries. The safety climate analysis was conducted through the application of the Safety Climate in Wood Industries questionnaire. Judgments about risk acceptance, trust, risk perception, benefit perception, emotions, and moral values were measured. Several models were tested to explain occupational risk acceptance. The results showed that the level of risk acceptance decreased as the risk level increased. High-risk and death scenarios were assessed as unacceptable. Risk perception, emotions, and trust had an important influence on risk acceptance. Safety climate was correlated with risk acceptance and other variables that influence risk acceptance. These results are important for the risk assessment process in terms of defining risk acceptance criteria and strategies to reduce risks.

Reactive power planning under conditional-value-at-risk assessment using chance-constrained optimisation

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

The Risk Management of Minimum Return Guarantees

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies.

Risk Prediction for Epithelial Ovarian Cancer in 11 United States-Based Case-Control Studies: Incorporation of Epidemiologic Risk Factors and 17 Confirmed Genetic Loci.

Previously developed models for predicting absolute risk of invasive epithelial ovarian cancer have included a limited number of risk factors and have had low discriminatory power (area under the receiver operating characteristic curve (AUC) < 0.60). Because of this, we developed and internally validated a relative risk prediction model that incorporates 17 established epidemiologic risk factors and 17 genome-wide significant single nucleotide polymorphisms (SNPs) using data from 11 case-control studies in the United States (5,793 cases; 9,512 controls) from the Ovarian Cancer Association Consortium (data accrued from 1992 to 2010). We developed a hierarchical logistic regression model for predicting case-control status that included imputation of missing data. We randomly divided the data into an 80% training sample and used the remaining 20% for model evaluation. The AUC for the full model was 0.664. A reduced model without SNPs performed similarly (AUC = 0.649). Both models performed better than a baseline model that included age and study site only (AUC = 0.563). The best predictive power was obtained in the full model among women younger than 50 years of age (AUC = 0.714); however, the addition of SNPs increased the AUC the most for women older than 50 years of age (AUC = 0.638 vs. 0.616). Adapting this improved model to estimate absolute risk and evaluating it in prospective data sets is warranted.

Risk management for mathematical optimization under uncertainty

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.

A importância do relacionamento bancário no financiamento das PME

Dissertação de Mestrado em Finanças Empresariais