134,899 research outputs found
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To split or not to split: Capital allocation with convex risk measures
Convex risk measures were introduced by Deprez and Gerber (1985). Here the problem of allocating risk capital to subportfolios is addressed, when aggregate capital is calculated by a convex risk measure. The Aumann-Shapley value is proposed as an appropriate allocation mechanism. Distortion-exponential measures are discussed extensively and explicit capital allocation formulas are obtained for the case that the risk measure belongs to this family. Finally the implications of capital allocation with a convex risk measure for the stability of portfolios are discussed
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Design of robust service operations using cybernetic principles and simulation
Information flows in a service organisation allow business units to co-ordinate their response to changes in the operating environment. Processes and interactions can be designed so that the right information flows to the right people, at the right time to make effective decisions regarding job priorities and allocation of limited resource. This paper develops an analysis framework and simulation approach to identify the internal information flows an organisation needs to âtune itselfâ for changing conditions, thus making itself more robust to uncertainties. The ideas are developed and illustrated through a case study with a major telecoms company.International Design Conference - DESIGN 201
Tree defence and bark beetles in a drying world: carbon partitioning, functioning and modelling.
Drought has promoted large-scale, insect-induced tree mortality in recent years, with severe consequences for ecosystem function, atmospheric processes, sustainable resources and global biogeochemical cycles. However, the physiological linkages among drought, tree defences, and insect outbreaks are still uncertain, hindering our ability to accurately predict tree mortality under on-going climate change. Here we propose an interdisciplinary research agenda for addressing these crucial knowledge gaps. Our framework includes field manipulations, laboratory experiments, and modelling of insect and vegetation dynamics, and focuses on how drought affects interactions between conifer trees and bark beetles. We build upon existing theory and examine several key assumptions: (1) there is a trade-off in tree carbon investment between primary and secondary metabolites (e.g. growth vs defence); (2) secondary metabolites are one of the main component of tree defence against bark beetles and associated microbes; and (3) implementing conifer-bark beetle interactions in current models improves predictions of forest disturbance in a changing climate. Our framework provides guidance for addressing a major shortcoming in current implementations of large-scale vegetation models, the under-representation of insect-induced tree mortality
Trading reliability targets within a supply chain using Shapley's value
The development of complex systems involves a multi-tier supply chain, with each organisation allocated a reliability target for their sub-system or component part apportioned from system requirements. Agreements about targets are made early in the system lifecycle when considerable uncertainty exists about the design detail and potential failure modes. Hence resources required to achieve reliability are unpredictable. Some types of contracts provide incentives for organisations to negotiate targets so that system reliability requirements are met, but at minimum cost to the supply chain. This paper proposes a mechanism for deriving a fair price for trading reliability targets between suppliers using information gained about potential failure modes through development and the costs of activities required to generate such information. The approach is based upon Shapley's value and is illustrated through examples for a particular reliability growth model, and associated empirical cost model, developed for problems motivated by the aerospace industry. The paper aims to demonstrate the feasibility of the method and discuss how it could be extended to other reliability allocation models
A methodological approach to BISDN signalling performance
Sophisticated signalling protocols are required to properly handle the complex multimedia, multiparty services supported by the forthcoming BISDN. The implementation feasibility of these protocols should be evaluated during their design phase, so that possible performance bottlenecks are identified and removed. In this paper we present a methodology for evaluating the performance of BISDN signalling systems under design. New performance parameters are introduced and their network-dependent values are extracted through a message flow model which has the capability to describe the impact of call and bearer control separation on the signalling performance. Signalling protocols are modelled through a modular decomposition of the seven OSI layers including the service user to three submodels. The workload model is user descriptive in the sense that it does not approximate the direct input traffic required for evaluating the performance of a layer protocol; instead, through a multi-level approach, it describes the actual implications of user signalling activity for the general signalling traffic. The signalling protocol model is derived from the global functional model of the signalling protocols and information flows using a network of queues incorporating synchronization and dependency functions. The same queueing approach is followed for the signalling transfer network which is used to define processing speed and signalling bandwidth requirements and to identify possible performance bottlenecks stemming from the realization of the related protocols
Conceptual modelling: framework, principles, and future research
The conceptual modelling task in a simulation project is very important and yet is still generally regarded as more of an art than a science. The meaning and nature of conceptual modelling are discussed and a framework set out. The overall aim should be to choose the best model for the project and conceptual modelling can be viewed as a difficult optimisation problem that can be tackled effectively using a creative search process that develops alternative models and predicts their performance throughout the project. An experiment relating model characteristics to some aspects of performance is described and this type of experiment may inform the process of predicting model performance. Based on advice from the literature and my own previous work on conceptual modelling 17 principles of conceptual modelling are suggested. Conceptual modelling research is still at an early stage and ideas for future research are proposed
Modelling Multilateral Negotiation in Linear Logic
We show how to embed a framework for multilateral negotiation,
in which a group of agents implement a sequence of deals
concerning the exchange of a number of resources, into linear logic.
In this model, multisets of goods, allocations of resources, preferences
of agents, and deals are all modelled as formulas of linear logic.
Whether or not a proposed deal is rational, given the preferences of
the agents concerned, reduces to a question of provability, as does
the question of whether there exists a sequence of deals leading to an
allocation with certain desirable properties, such as maximising social
welfare. Thus, linear logic provides a formal basis for modelling
convergence properties in distributed resource allocation
The role of climate and plant functional trade-offs in shaping global biome and biodiversity patterns
Aim: Two of the oldest observations in plant geography are the increase in plant diversity from the poles towards the tropics and the global geographic distribution of vegetation physiognomy (biomes). The objective of this paper is to use a process-based vegetation model to evaluate the relationship between modelled and observed global patterns of plant diversity and the geographic distribution of biomes.Location: The global terrestrial biosphere.Methods: We implemented and tested a novel vegetation model aimed at identifying strategies that enable plants to grow and reproduce within particular climatic conditions across the globe. Our model simulates plant survival according to the fundamental ecophysiological processes of water uptake, photosynthesis, reproduction and phenology. We evaluated the survival of an ensemble of 10,000 plant growth strategies across the range of global climatic conditions. For the simulated regional plant assemblages we quantified functional richness, functional diversity and functional identity.Results: A strong relationship was found (correlation coefficient of 0.75) between the modelled and the observed plant diversity. Our approach demonstrates that plant functional dissimilarity increases and then saturates with increasing plant diversity. Six of the major Earth biomes were reproduced by clustering grid cells according to their functional identity (mean functional traits of a regional plant assemblage). These biome clusters were in fair agreement with two other global vegetation schemes: a satellite image classification and a biogeography model (kappa statistics around 0.4).Main conclusions: Our model reproduces the observed global patterns of plant diversity and vegetation physiognomy from the number and identity of simulated plant growth strategies. These plant growth strategies emerge from the first principles of climatic constraints and plant functional trade-offs. Our study makes important contributions to furthering the understanding of how climate affects patterns of plant diversity and vegetation physiognomy from a process-based rather than a phenomenological perspective
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