A 3D continuous risk matrix for the assessment of operational safety in inland container terminals

2021 ◽  
pp. 147509022110514
Author(s):  
Wen-Kai K Hsu ◽  
Show-Hui S Huang ◽  
Shu-Wei Wu
Keyword(s):  
Risk Measures ◽  
Risk Measure ◽  
Fuzzy Ahp ◽  
Relevant Literature ◽  
Container Terminals ◽  
Three Dimensions ◽  
Accurate Information ◽  
Risk Matrix ◽  
Operational Safety ◽  
Managerial Implications

This paper proposes a 3D (three dimensions) continuous risk matrix to assess the operational safety in inland container terminals (ICTs). In this paper, based on the operational features of ICTs and relevant literature, the risk factors (RFs) affecting the operational safety in ICTs are first investigated. A 3D continuous risk matrix based on a fuzzy AHP (Analytic Hierarchical Process) approach is then proposed to assess the operational safety in ICTs. Unlike the traditional risk matrix constructed by risk measures of likelihood and consequence, the proposed risk matrix considers one more risk measure: preventive-ability of an organization that can provide more accurate information for decision makers in risk assessments. Finally, the ICTs in Taiwan were empirically investigated to validate the model. Based on the results, theoretical and managerial implications are discussed.

Evaluating sustainable supply chain indicators using fuzzy AHP

2017 ◽  
Vol 24 (6) ◽  
pp. 1742-1766 ◽  
Author(s):  
Divesh Kumar ◽  
Chandra Prakash Garg
Keyword(s):  
Supply Chain ◽  
Automotive Industry ◽  
Environmental Concern ◽  
Fuzzy Ahp ◽  
Relevant Literature ◽  
Three Dimensions ◽  
Successful Implementation ◽  
Sustainable Supply Chain ◽  
Content Type ◽  
Sustain Ability

Purpose Sustainability in supply chain is gaining attention in recent years due to environmental concern, enforced legislation, green issues, social responsibility, etc. Sustainable supply chain (SSC) has revolved around the various dimensions including economy, environment and societal factors since its inception. The purpose of this paper is to identify, prioritize and evaluate the indicators of SSC so that organizations can cultivate strategies to implement them on priority. Design/methodology/approach This paper proposes a methodology based on fuzzy analytic hierarchy process to prioritize the indicators of SSC. A numerical analysis of Indian automotive industry is presented to demonstrate the use of the proposed method. This proposed method considered fuzzy framework that can handle impreciseness and uncertainty. Sensitivity analysis is also performed to test the robustness of the proposed model. Findings Potential indicators are identified from relevant literature and validated by industry experts. This research finalizes the SSC indicators under three dimensions so that prioritization of identified indicators can be developed and the insights relationship of factors would be explored. The results of the study found that environmental and social dimensions of sustainability contribute more toward the sustainability. Research limitations/implications This study is limited to identify evaluation factors and other factors have not been identified and categorized. Evaluation is done by experts in this area so it is natural that views of decision makers may be subjective and vary with regard to industry type, priorities, resources, etc. Practical implications This study will help industry to identify, evaluate and prioritize factors for successful implementation of sustainability in their supply chain. Automotive companies could device these factors by applying the outcome of the study in their operations with higher priority to integrate sustainability in their supply chain. Originality/value These factors are identified to implement sustain ability into supply chain practices for automotive industry.

Risk Assessment of Operational Safety for Oil Tankers - A Revised Risk Matrix

2017 ◽  
Vol 70 (4) ◽  
pp. 775-788 ◽  
Author(s):  
Wen-Kai Hsu ◽  
Shu-Jun Lian ◽  
Show-Hui Huang
Keyword(s):  
Risk Assessment ◽  
Relevant Literature ◽  
Risk Assessments ◽  
Research Model ◽  
Fuzzy Analytical Hierarchy Process ◽  
Risk Matrix ◽  
Operational Safety ◽  
Oil Tankers ◽  
Hierarchy Process ◽  
Oil Tanker

This paper is aimed at the risk assessment of operational safety for oil tankers. Based on the operational features of oil tankers and relevant literature, the Risk Factors (RFs) of operational safety were first identified. A revised risk matrix based on a fuzzy Analytical Hierarchy Process (AHP) approach was then proposed to assess the risk classes of the RFs. Finally, to validate the research model, the oil tanker fleet of Chinese Petroleum Corporation (CPC) in Taiwan was empirically investigated. The results can provide practical information for oil carriers to improve their ships' operational safety. Furthermore, the revised risk matrix may provide a theoretical reference for methodological researches in safety risk assessments.

Assessing the investment environment in container terminals: A knowledge gap model

2022 ◽  
pp. 147509022110707
Author(s):  
Wen-Kai K Hsu ◽  
Hui-Huang Tai ◽  
Nguyen Tan Huynh ◽  
Jun-Wei C Chen
Keyword(s):  
Fuzzy Ahp ◽  
Evaluation Criteria ◽  
Container Terminals ◽  
Knowledge Gap ◽  
Research Model ◽  
Gap Model ◽  
Investment Environment ◽  
Operational Characteristics ◽  
Managerial Implications ◽  
Prior Literature

This paper aims to evaluate the investment environment in container terminals (CTs) in one seaport from the attitudes of both terminal operators (TOs) and port companies (PCs). Evaluation criteria (ECs) regarding the investment environment in CTs are first created based on the prior literature and the CTs’ operational characteristics. A knowledge gap model based on an improved fuzzy AHP approach is then developed to assess the perceived differences on the ECs between TOs and PCs, by which the PCs managers could formulate practical policies to improve their investment environment in CTs. As an empirical study, the Taiwan International Port Corporation (TIPC) and its terminal operators in Kaohsiung port are examined to verify the research model. Results indicate that ECs with higher knowledge gap for TIPC include: Intra-port coopetition, Number of shipping carriers, and Business tax. Based on the result, theoretical and managerial implications are discussed.

scholarly journals Modified Mean-Variance Risk Measures for Long-Term Portfolios

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 111
Author(s):  
Hyungbin Park
Keyword(s):  
Risk Measures ◽  
Risk Measure ◽  
Investment Strategy ◽  
Stochastic Volatility Model ◽  
Heston Model ◽  
Volatility Model ◽  
Variance Risk ◽  
Investment Portfolios ◽  
Mean Variance

This paper proposes modified mean-variance risk measures for long-term investment portfolios. Two types of portfolios are considered: constant proportion portfolios and increasing amount portfolios. They are widely used in finance for investing assets and developing derivative securities. We compare the long-term behavior of a conventional mean-variance risk measure and a modified one of the two types of portfolios, and we discuss the benefits of the modified measure. Subsequently, an optimal long-term investment strategy is derived. We show that the modified risk measure reflects the investor’s risk aversion on the optimal long-term investment strategy; however, the conventional one does not. Several factor models are discussed as concrete examples: the Black–Scholes model, Kim–Omberg model, Heston model, and 3/2 stochastic volatility model.

scholarly journals Minimizing spectral risk measures applied to Markov decision processes

2021 ◽  
Author(s):  
Nicole Bäuerle ◽  
Alexander Glauner
Keyword(s):  
Minimization Problem ◽  
Risk Measures ◽  
Risk Measure ◽  
Sufficient Conditions ◽  
Planning Horizon ◽  
Insurance Company ◽  
Existence Of A Solution ◽  
Discounted Cost ◽  
Spectral Risk Measures ◽  
Markov Decision

AbstractWe study the minimization of a spectral risk measure of the total discounted cost generated by a Markov Decision Process (MDP) over a finite or infinite planning horizon. The MDP is assumed to have Borel state and action spaces and the cost function may be unbounded above. The optimization problem is split into two minimization problems using an infimum representation for spectral risk measures. We show that the inner minimization problem can be solved as an ordinary MDP on an extended state space and give sufficient conditions under which an optimal policy exists. Regarding the infinite dimensional outer minimization problem, we prove the existence of a solution and derive an algorithm for its numerical approximation. Our results include the findings in Bäuerle and Ott (Math Methods Oper Res 74(3):361–379, 2011) in the special case that the risk measure is Expected Shortfall. As an application, we present a dynamic extension of the classical static optimal reinsurance problem, where an insurance company minimizes its cost of capital.

scholarly journals Portfolio Optimization Constrained by Performance Attribution

2021 ◽  
Vol 14 (5) ◽  
pp. 201
Author(s):  
Yuan Hu ◽  
W. Brent Lindquist ◽  
Svetlozar T. Rachev
Keyword(s):  
Portfolio Optimization ◽  
Asset Allocation ◽  
Value At Risk ◽  
Risk Measures ◽  
Risk Measure ◽  
Selection Effect ◽  
Conditional Value At Risk ◽  
Positive Role ◽  
Performance Attribution ◽  
Dow Jones Industrial Average

This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two performance attributes, asset allocation (AA) and the selection effect (SE), as constraints on asset weights. The test portfolio consists of stocks from the Dow Jones Industrial Average index. Values for the performance attributes are established relative to two benchmarks, equi-weighted and price-weighted portfolios of the same stocks. Performance of the optimized portfolios is judged using comparisons of cumulative price and the risk-measures: maximum drawdown, Sharpe ratio, Sortino–Satchell ratio and Rachev ratio. The results suggest that achieving SE performance thresholds requires larger turnover values than that required for achieving comparable AA thresholds. The results also suggest a positive role in price and risk-measure performance for the imposition of constraints on AA and SE.

scholarly journals A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 85 ◽  
Author(s):  
Mohamed Lkabous ◽  
Jean-François Renaud
Keyword(s):  
Risk Model ◽  
Risk Measures ◽  
Risk Measure ◽  
Short Paper ◽  
Classical Risk Model ◽  
Parisian Ruin ◽  
The Classical Risk Model

In this short paper, we study a VaR-type risk measure introduced by Guérin and Renaud and which is based on cumulative Parisian ruin. We derive some properties of this risk measure and we compare it to the risk measures of Trufin et al. and Loisel and Trufin.

CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH

2019 ◽  
Vol 34 (2) ◽  
pp. 297-315
Author(s):  
Linxiao Wei ◽  
Yijun Hu
Keyword(s):  
Standard Deviation ◽  
Portfolio Management ◽  
Risk Measures ◽  
Risk Measure ◽  
Axiomatic Approach ◽  
Capital Allocation ◽  
Axiom System ◽  
Multivariate Risk ◽  
Multivariate Risk Measures ◽  
Multivariate Risk Measure

AbstractCapital allocation is of central importance in portfolio management and risk-based performance measurement. Capital allocations for univariate risk measures have been extensively studied in the finance literature. In contrast to this situation, few papers dealt with capital allocations for multivariate risk measures. In this paper, we propose an axiom system for capital allocation with multivariate risk measures. We first recall the class of the positively homogeneous and subadditive multivariate risk measures, and provide the corresponding representation results. Then it is shown that for a given positively homogeneous and subadditive multivariate risk measure, there exists a capital allocation principle. Furthermore, the uniqueness of the capital allocation principe is characterized. Finally, examples are also given to derive the explicit capital allocation principles for the multivariate risk measures based on mean and standard deviation, including the multivariate mean-standard-deviation risk measures.

scholarly journals Sharing Risk – An Economic Perspective

2009 ◽  
Vol 39 (2) ◽  
pp. 591-613 ◽  
Author(s):  
Andreas Kull
Keyword(s):  
Value At Risk ◽  
Risk Sharing ◽  
Risk Measures ◽  
Insurance Industry ◽  
Risk Measure ◽  
Capital Allocation ◽  
Risk Capital ◽  
Risk Class ◽  
Capital Costs ◽  
Risk Transfer

AbstractWe revisit the relative retention problem originally introduced by de Finetti using concepts recently developed in risk theory and quantitative risk management. Instead of using the Variance as a risk measure we consider the Expected Shortfall (Tail-Value-at-Risk) and include capital costs and take constraints on risk capital into account. Starting from a risk-based capital allocation, the paper presents an optimization scheme for sharing risk in a multi-risk class environment. Risk sharing takes place between two portfolios and the pricing of risktransfer reflects both portfolio structures. This allows us to shed more light on the question of how optimal risk sharing is characterized in a situation where risk transfer takes place between parties employing similar risk and performance measures. Recent developments in the regulatory domain (‘risk-based supervision’) pushing for common, insurance industry-wide risk measures underline the importance of this question. The paper includes a simple non-life insurance example illustrating optimal risk transfer in terms of retentions of common reinsurance structures.

Sign in / Sign up

Export Citation Format

Share Document