Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes

This article provides importance sampling algorithms for computing the probabilities of various types ruin of spectrally negative Lévy risk processes, which are ruin over the infinite time horizon, ruin within a finite time horizon and ruin past a finite time horizon. For the special case of the compound Poisson process perturbed by diffusion, algorithms for computing probabilities of ruins by creeping (i.e. induced by the diffusion term) and by jumping (i.e. by a claim amount) are provided. It is shown that these algorithms have either bounded relative error or logarithmic efficiency, as t,x→∞t,x→∞, where t>0t>0 is the time horizon and x>0x>0 is the starting point of the risk process, with y=t/xy=t/x held constant and assumed either below or above a certain constant.

Improved algorithms for rare event simulation with heavy tails

The estimation of P(S-n > u) by simulation, where S, is the sum of independent. identically distributed random varibles Y-1,..., Y-n, is of importance in many applications. We propose two simulation estimators based upon the identity P(S-n > u) = nP(S, > u, M-n = Y-n), where M-n = max(Y-1,..., Y-n). One estimator uses importance sampling (for Y-n only), and the other uses conditional Monte Carlo conditioning upon Y1,..., Yn-1. Properties of the relative error of the estimators are derived and a numerical study given in terms of the M/G/1 queue in which n is replaced by an independent geometric random variable N. The conclusion is that the new estimators compare extremely favorably with previous ones. In particular, the conditional Monte Carlo estimator is the first heavy-tailed example of an estimator with bounded relative error. Further improvements are obtained in the random-N case, by incorporating control variates and stratification techniques into the new estimation procedures.

Changes in energy efficiency in Australia: A decomposition of aggregate energy intensity using logarithmic mean Divisia approach

This paper provides an empirical estimation of energy efficiency and other proximate factors that explain energy intensity in Australia for the period 1978-2009. The analysis is performed by decomposing the changes in energy intensity by means of energy efficiency, fuel mix and structural changes using sectoral and sub-sectoral levels of data. The results show that the driving forces behind the decrease in energy intensity in Australia are efficiency effect and sectoral composition effect, where the former is found to be more prominent than the latter. Moreover, the favourable impact of the composition effect has slowed consistently in recent years. A perfect positive association characterizes the relationship between energy intensity and carbon intensity in Australia. The decomposition results indicate that Australia needs to improve energy efficiency further to reduce energy intensity and carbon emissions. © 2012 Elsevier Ltd.

Laplace transforms of probability distributions and their inversions are easy on logarithmic scales

It is shown that, when expressing arguments in terms of their logarithms, the Laplace transform of a function is related to the antiderivative of this function by a simple convolution. This allows efficient numerical computations of moment generating functions of positive random variables and their inversion. The application of the method is straightforward, apart from the necessity to implement it using high-precision arithmetics. In numerical examples the approach is demonstrated to be particularly useful for distributions with heavy tails, Such as lognormal, Weibull, or Pareto distributions, which are otherwise difficult to handle. The computational efficiency compared to other methods is demonstrated for an M/G/1 queueing problem.

On the efficiency of impingers with fritted nozzle tip for collection of ultrafine particles

The aim of this study was to determine the collection efficiency of ultrafine particles into an impinger fitted with a fritted nozzle tip as a means to increase contact surface area between the aerosol and the liquid. The influence of liquid sampling volume, frit porosity and the nature of the sampling liquid was explored and it was shown that all impact on the collection efficiency of particles smaller than 220 nm. Obtained values for overall collection efficiency were substantially higher (~30–95%) than have been previously reported, mainly due to the high deposition of particles in the fritted nozzle tip, especially in case of finer porosity frits and smaller particles. Values for the capture efficiency of the solvent alone ranged from 20 to 45%, depending on the type and the volume of solvent. Additionally, our results show that airstream dispersion into bubbles improves particle trapping by the liquid and that there is a difference in collection efficiencies based on the nature and volume of the solvent used.

Final report : tasks 1 and 4: eco-efficiency assessment of building refurbishment

The main objective was to compare the environmental impacts of a building undergoing refurbishment both before and after the refurbishment and to assist in the design of the refurbishment with what is learned.

Re-life of buildings - decision support tools for maximising project efficiency

This paper describes the process adopted in developing an integrated decision support framework for planning of office building refurbishment projects, with specific emphasize on optimising rentable floor space, structural strengthening, residual life and sustainability. Expert opinion on the issues to be considered in a tool is being captured through the DELPHI process, which is currently ongoing. The methodology for development of the integrated tool will be validated through decisions taken during a case study project: refurbishment of CH1 building of Melbourne City Council, which will be followed through to completion by the research team. Current status of the CH1 planning will be presented in the context of the research project.

Sustainable construction for the future - the role of government in energy efficiency and sustainability in buildings

This paper will summarise the findings from a study that explored the link between dwelling design, or type, and energy efficiencies in sub-tropical climates. An increasing number of government and private sector development companies are initiating projects that aim to deliver enhanced environmental outcomes at both sub-divisional and dwelling levels. The study used AccuRate, a new thermal modelling tool developed by CSIRO that responds to the need to improve ventilation modelling. The study found that dwellings developed in conjunction with the Departments of Housing and Public Works have set the benchmark. It provides a snapshot of the energy efficiency of a range of dwelling types found in recent subdivisions. However, the trend toward increasing urban densities may reduce the likelihood that cooling breezes will be available to cool dwellings. The findings are relevant to regulators, designers and industry in all states interested in reducing the energy used to cool dwellings in summer.

Integrating eco-efficiency assessment of commercial buildings into the design process : LCADesign

The ability to assess a commercial building for its impact on the environment at the earliest stage of design is a goal which is achievable by integrating several approaches into a single procedure directly from the 3D CAD representation. Such an approach enables building design professionals to make informed decisions on the environmental impact of building and its alternatives during the design development stage instead of at the post-design stage where options become limited. The indicators of interest are those which relate to consumption of resources and energy, contributions to pollution of air, water and soil, and impacts on the health and wellbeing of people in the built environment as a result of constructing and operating buildings. 3D object-oriented CAD files contain a wealth of building information which can be interrogated for details required for analysis of the performance of a design. The quantities of all components in the building can be automatically obtained from the 3D CAD objects and their constituent materials identified to calculate a complete list of the amounts of all building products such as concrete, steel, timber, plastic etc. When this information is combined with a life cycle inventory database, key internationally recognised environmental indicators can be estimated. Such a fully integrated tool known as LCADesign has been created for automated ecoefficiency assessment of commercial buildings direct from 3D CAD. This paper outlines the key features of LCADesign and its application to environmental assessment of commercial buildings.

LCADesign : an integrated approach to automatic eco-efficiency assessment of commercial buildings

Buildings consume resources and energy, contribute to pollution of our air, water and soil, impact the health and well-being of populations and constitute an important part of the built environment in which we live. The ability to assess their design with a view to reducing that impact automatically from their 3D CAD representations enables building design professionals to make informed decisions on the environmental impact of building structures. Contemporary 3D object-oriented CAD files contain a wealth of building information. LCADesign has been designed as a fully integrated approach for automated eco-efficiency assessment of commercial buildings direct from 3D CAD. LCADesign accesses the 3D CAD detail through Industry Foundation Classes (IFCs) - the international standard file format for defining architectural and constructional CAD graphic data as 3D real-world objects - to permit construction professionals to interrogate these intelligent drawing objects for analysis of the performance of a design. The automated take-off provides quantities of all building components whose specific production processes, logistics and raw material inputs, where necessary, are identified to calculate a complete list of quantities for all products such as concrete, steel, timber, plastic etc and combines this information with the life cycle inventory database, to estimate key internationally recognised environmental indicators such as CML, EPS and Eco-indicator 99. This paper outlines the key modules of LCADesign and their role in delivering an automated eco-efficiency assessment for commercial buildings.

Assessing the energy efficiency of gear oils via the FZG test machine

Energy efficient lubricants are becoming increasingly popular. This is due to a global increase in environmental awareness combined with the potential of reducing operating costs. A new test method of evaluating the energy efficiency of gear oils has been described in this report. The method involves measuring the power required by an FZG test rig to run while using a particular test lubricant. For each oil that was being evaluated, the rig was run for 10 minutes at a load stage of 10. Six extreme pressure (EP) industrial gear oils of mineral base were tested. The difference in power requirements between the best and the worst performing oils was 2.77 and 3.24 kW, respectively. This equates to a 14.6% reduction in power, a significant amount if considered in relation to a high powered industrial machine. The oils of superior performance were noticed to run at reduced temperatures. They were also more expensive than the other products of lesser performance.

The innovation deficit in public services : the curious problem of too much efficiency and not enough waste and failure

It has long been recognised that government and public sector services suffer an innovation deficit compared to private or market-based services. This paper argues that this can be explained as an unintended consequence of the concerted public sector drive toward the elimination of waste through efficiency, accountability and transparency. Yet in an evolving economy this can be a false efficiency, as it also eliminates the 'good waste' that is a necessary cost of experimentation. This results in a systematic trade0off in the public sector between the static efficiency of minimizing the misuse of public resources and the dynamic efficiency of experimentation. this is inherently biased against risk and uncertainty and therein, explains why governments find service innovation so difficult. In the drive to eliminate static inefficiencies, many political systems have susequently overshot and stifled policy innovation. I propose the 'Red Queen' solution of adaptive economic policy.