IMPLICATIONS OF CROP YIELD AND REVENUE INSURANCE FOR PRODUCER HEDGING

New types of crop insurance have expanded the tools from which crop producers may choose to manage risk. Little is known regarding how these products interact with futures and options. This analysis examines optimal futures and put ratios in the presence of four alternative insurance coverages. An analytical model investigates the comparative statics of the relationship between hedging and insurance. Additional numerical analysis is conducted which incorporates futures price, basis, and yield variability. Yield insurance is found to have a positive effect on hedging levels. Revenue insurance tends to result in slightly lower hedging demand than would occur given the same level of yield insurance coverage.Risk and Uncertainty,

Optimal treatment allocations in space and time for on-line control of an emerging infectious disease

A key component in controlling the spread of an epidemic is deciding where, whenand to whom to apply an intervention.We develop a framework for using data to informthese decisionsin realtime.We formalize a treatment allocation strategy as a sequence of functions, oneper treatment period, that map up-to-date information on the spread of an infectious diseaseto a subset of locations where treatment should be allocated. An optimal allocation strategyoptimizes some cumulative outcome, e.g. the number of uninfected locations, the geographicfootprint of the disease or the cost of the epidemic. Estimation of an optimal allocation strategyfor an emerging infectious disease is challenging because spatial proximity induces interferencebetween locations, the number of possible allocations is exponential in the number oflocations, and because disease dynamics and intervention effectiveness are unknown at outbreak.We derive a Bayesian on-line estimator of the optimal allocation strategy that combinessimulation–optimization with Thompson sampling.The estimator proposed performs favourablyin simulation experiments. This work is motivated by and illustrated using data on the spread ofwhite nose syndrome, which is a highly fatal infectious disease devastating bat populations inNorth America

Optimal provision of distributed reserves under dynamic energy service preferences

We propose and solve a stochastic dynamic programming (DP) problem addressing the optimal provision of regulation service reserves (RSR) by controlling dynamic demand preferences in smart buildings. A major contribution over past dynamic pricing work is that we pioneer the relaxation of static, uniformly distributed utility of demand. In this paper we model explicitly the dynamics of energy service preferences leading to a non-uniform and time varying probability distribution of demand utility. More explicitly, we model active and idle duty cycle appliances in a smart building as a closed queuing system with price-controlled arrival rates into the active appliance queue. Focusing on cooling appliances, we model the utility associated with the transition from idle to active as a non-uniform time varying function. We (i) derive an analytic characterization of the optimal policy and the differential cost function, and (ii) prove optimal policy monotonicity and value function convexity. These properties enable us to propose and implement a smart assisted value iteration (AVI) algorithm and an approximate DP (ADP) that exploits related functional approximations. Numerical results demonstrate the validity of the solution techniques and the computational advantage of the proposed ADP on realistic, large-state-space problems

Optimal experimental design for mathematical models of haematopoiesis.

The haematopoietic system has a highly regulated and complex structure in which cells are organized to successfully create and maintain new blood cells. It is known that feedback regulation is crucial to tightly control this system, but the specific mechanisms by which control is exerted are not completely understood. In this work, we aim to uncover the underlying mechanisms in haematopoiesis by conducting perturbation experiments, where animal subjects are exposed to an external agent in order to observe the system response and evolution. We have developed a novel Bayesian hierarchical framework for optimal design of perturbation experiments and proper analysis of the data collected. We use a deterministic model that accounts for feedback and feedforward regulation on cell division rates and self-renewal probabilities. A significant obstacle is that the experimental data are not longitudinal, rather each data point corresponds to a different animal. We overcome this difficulty by modelling the unobserved cellular levels as latent variables. We then use principles of Bayesian experimental design to optimally distribute time points at which the haematopoietic cells are quantified. We evaluate our approach using synthetic and real experimental data and show that an optimal design can lead to better estimates of model parameters