Tucker (KKT) optimality conditions are then used to convert the bi-level programming problem into a single-level one, which can be directly solved after linearization. The modified IEEE 14-bus power system is employed to demonstrate the proposed method, and the role of FRPs in enhancing the system flexibility and improving the accommodation capabil...
in insurance we need the distribution of losses to determine the risk premia. In reliability analysis one needs to determine the distribution of accumulated damage or the first time of occurrence of a composite event, and so on. Not only that, but in some cases we have data on the aggregate risk, but we happen to be interested in determining the st...
Peer reviewed
Peer reviewed
We explore the Monte Carlo steps required to reduce the sampling error of the estimated 99.9% quantile within an acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement, where the annual loss distribution cannot be analytically determined in advance. Usually, the frequency and t...
La selección de proveedores es uno de los procesos más importantes que tiene lugar en las organizaciones, ya que las mismas requieren de la adquisición de materias primas, insumos, bienes y servicios para el desarrollo de sus actividades y la satisfacción de sus clientes. En el proceso de selección de proveedores son muchos los criterios que entran...
EDIM - European Doctorate in Industrial Management
We study the link between the distribution of extreme operational losses and the economic context, a fundamental task to compute adequate risk measures over time. In particular, we allow for time-varying dependencies due to structural changes, thanks to a newly-introduced smooth transition Generalized Pareto (GP) regression model. In this model, th...
The distribution of operational losses is particularly challenging to model, due to the high probability of extremes and the existence of time-varying structural dependencies. In particular, operational loss severity distribution is often concerned with changes in regulations, business cycles or financial crises that affect the dependence structure...
Published in Business Systems Research Journal
Background: During major maintenance projects on offshore installations, flotels are often used to accommodate the personnel. A gangway connects the flotel to the installation. If the offshore conditions are unfavorable, the responsible operatives need to decide whether to lift (disconnect) the gangway from the installation. If this is not done, th...
