Understanding and modeling willingness-to-pay for public policies to enhance road safety: A perspective from Pakistan

Evaluating road safety improvements becomes important because it can assist policymakers in allocating economic resources to improve safety and implementing effective policy interventions. As such, this study aims to estimate the value of road safety risk measures using a new modeling approach for willingness-to-pay (WTP). Specifically, this...

The Eco-Costs of Material Scarcity, a Resource Indicator for LCA, Derived from a Statistical Analysis on Excessive Price Peaks

The availability of resources is crucial for the socio-economic stability of our society. For more than two decades, there was a debate on how to structure this issue within the context of life-Cycle assessment (LCA). The classical approach with LCA is to describe "scarcity" for future generations (100-1000 years) in terms of absolute...

Tractable Stochastic Model Predictive Control using Conditional Value at Risk Optimization

A numerically tractable Stochastic Model Predictive Control (SMPC) strategy using Conditional Value at Risk (CVaR) optimization for discrete-time linear time-invariant systems, with state and input constraints, subject to additive uncertainty, is presented. SMPC strategies make use of the probabilistic description of uncertainty to define chance...

Market risk calculations in stock- and bond prices: a garch-copula approach

The financial crisis of $2008$-$2009$ has led to more strict regulatory supervisory on banks and insurance companies, focusing on better (market) risk models. The linear correlation models did not foresee the extreme losses in asset values, because they were not able to forecast high volatile markets in which the dependence between financial...

Development of Climate Resilient Ports: Achieving Viable and Efficient Investments in Landlord Container Terminals

Being nodal points in global supply chain network, port operations disrupted by adverse climate change impacts would bear substantial costs. Therefore, adapting ports to climate change and building their climate resilience are essential. However, the needs may not have been adequately acknowledged by port stakeholders. A series of problem...

Potential effects of risk aversion on technology choices and security of supply: Researched with an agent-based model of a liberalised electricity market

Given the current vulnerability of the profitability of power plants to price volatilities and government policy changes, the role of risk considerations in power plant investment decisions becomes increasingly important. However, when we look at simulation studies that look into the long-term impact of different policy designs on electricity...

Expected shortfall estimation for apparently infinite-mean models of operational risk

Statistical analyses on actual data depict operational risk as an extremely heavy-tailed phenomenon, able to generate losses so extreme as to suggest the use of infinite-mean models. But no loss can actually destroy more than the entire value of a bank or of a company, and this upper bound should be considered when dealing with tail-risk...

Higher order saddlepoint approximations in the Vasicek portfolio credit loss model

This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value at Risk (VaR), the risk measure chosen in the Basel II Accord for the evaluation of capital requirement, can then be found by inverting the loss distribution. VaR Contribution (VaRC), Expected...