Monte Carlo Simulation–Based Assessment of Risks Associated with Public–Private Partnership Investments in Toll Highway Infrastructure

2017 ◽  
Vol 2670 (1) ◽  
pp. 59-67 ◽  
Author(s):  
Zhe Han ◽  
Juan Diego Porras-Alvarado ◽  
Jingran Sun ◽  
Zhanmin Zhang
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Investment Decision ◽  
Quantitative Information ◽  
Decision Makers ◽  
Control Measures ◽  
Highway Projects ◽  
Monte Carlo Simulation Technique ◽  
Funding Mechanism ◽  
Private And Public

The demands for delivering highway services keep growing worldwide. However, funding from government and public agencies alone cannot cover the capital needed to operate and maintain existing highway systems, much less to construct new ones. Public–private partnerships (PPPs) are an innovative funding mechanism for highway agencies to use private capital and expertise in transportation infrastructure projects so as to increase funding options to bridge the budget gap. Even though parties involved in PPPs take different roles and responsibilities, there are still risks taken or shared by the public and private sectors. In particular, assessing risks associated with the potential returns of investments is of great importance to the private and public sectors. This paper presents a methodological framework for assessing the investment risks of PPP toll highway projects, which may help decision makers. The financial viability associated with the components of a project is considered and analyzed, and the Monte Carlo simulation technique is applied to evaluate the overall project risks. Finally, a numerical case study is conducted to demonstrate the application of the proposed method. The risk analysis provides statistical distribution of investment returns for the project under analysis, which will supply decision makers with direct information to estimate the project’s overall financial risks and develop corresponding risk control measures. The risk simulation results are interpreted so that quantitative information can be provided to agencies to establish investment decision criteria.

On Using Monte Carlo Simulations for Project Risk Management

2016 ◽  
pp. 150-173
Author(s):  
Cristiana Tudor ◽  
Maria Tudor
Keyword(s):  
Monte Carlo Simulation ◽  
Risk Management ◽  
Monte Carlo ◽  
Decision Makers ◽  
Project Schedule ◽  
Project Risk ◽  
Monte Carlo Simulation Technique ◽  
Basic Probability ◽  
The Cost

This chapter covers the essentials of using the Monte Carlo Simulation technique (MSC) for project schedule and cost risk analysis. It offers a description of the steps involved in performing a Monte Carlo simulation and provides the basic probability and statistical concepts that MSC is based on. Further, a simple practical spreadsheet example goes through the steps presented before to show how MCS can be used in practice to assess the cost and duration risk of a project and ultimately to enable decision makers to improve the quality of their judgments.

Integrated modelling under uncertainty in watershed-level assessment and management

2007 ◽  
Vol 56 (8) ◽  
pp. 31-39 ◽  
Author(s):  
J.H. Ham ◽  
C.G. Yoon ◽  
K.W. Jung ◽  
J.H. Jang
Keyword(s):  
Water Quality ◽  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Watershed Management ◽  
Management Practices ◽  
Control Measures ◽  
Integrated Modelling ◽  
Quality Prediction ◽  
Water Quality Prediction ◽  
Modelling System

Uncertainty in water quality model predictions is inevitably high due to natural stochasticity, model uncertainty, and parameter uncertainty. An integrated modelling system (modified-BASINS) under uncertainty is described and demonstrated for use in receiving-water quality prediction and watershed management. A Monte Carlo simulation was used to investigate the effect of various uncertainty types on output prediction. Without pollution control measures in the watershed, the concentrations of total nitrogen (T-N) and total phosphorus (T-P) in the Hwaong Reservoir, considering three uncertainty types, would be less than about 4.4 and 0.23 mg L−1, respectively, in 2012, with 90% confidence. The effects of two watershed management practices, wastewater treatment plants (WWTP) and constructed wetlands (WETLAND), were evaluated. The combined scenario (WWTP + WETLAND) was the most effective at improving reservoir water quality, bringing concentrations of T-N and T-P in the Hwaong Reservoir to less than 3.4 and 0.14 mg L−1, 24 and 41% improvements, respectively, with 90% confidence. Overall, the Monte Carlo simulation in the integrated modelling system was practical for estimating uncertainty and reliable in water quality prediction. The approach described here may allow decisions to be made based on the probability and level of risk, and its application is recommended.

The Use of Quantitative Methods in Investment Decisions

2019 ◽  
pp. 256-275 ◽  
Author(s):  
Serkan Eti
Keyword(s):  
Neural Networks ◽  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Artificial Neural Networks ◽  
Decision Tree ◽  
Quantitative Methods ◽  
Simulation Analysis ◽  
Investment Decision ◽  
Tree Algorithms ◽  
Artificial Neural

Quantitative methods are mainly preferred in the literature. The main purpose of this chapter is to evaluate the usage of quantitative methods in the subject of the investment decision. Within this framework, the studies related to the investment decision in which quantitative methods are taken into consideration. As for the quantitative methods, probit, logit, decision tree algorithms, artificial neural networks methods, Monte Carlo simulation, and MARS approaches are taken into consideration. The findings show that MARS methodology provides a more accurate results in comparison with other techniques. In addition to this situation, it is also concluded that probit and logit methodologies were less preferred in comparison with decision tree algorithms, artificial neural networks methods, and Monte Carlo simulation analysis, especially in the last studies. Therefore, it is recommended that a new evaluation for investment analysis can be performed with MARS method because it is understood that this approach provides better results.

Influence of the Back-Jump Correlations on the Fermi-Dirac Statistics

1991 ◽  
Vol 02 (01) ◽  
pp. 227-231
Author(s):  
T. BARSZCZAK ◽  
R. KUTNER
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Simulation Technique ◽  
Monte Carlo Simulation Technique

The influence of the essential Bardeen-Herring back-jump correlations on the Fermi-Dirac statistics is studied by the Monte Carlo simulation technique and semi-analytically.

Exact cash-account deflator for the G2++ model

2020 ◽  
Vol 07 (01) ◽  
pp. 2050009
Author(s):  
Francesco Strati ◽  
Luca G. Trussoni
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Insurance Industry ◽  
Random Variable ◽  
Time Span ◽  
Discrete Random Variable ◽  
Variable Formula ◽  
Monte Carlo Simulation Technique ◽  
Insurance Contracts ◽  
Embedded Options

In this paper, we shall propose a Monte Carlo simulation technique applied to a G2++ model: even when the number of simulated paths is small, our technique allows to find a precise simulated deflator. In particular, we shall study the transition law of the discrete random variable :[Formula: see text] in the time span [Formula: see text] conditional on the observation at time [Formula: see text], and we apply it in a recursive way to build the different paths of the simulation. We shall apply the proposed technique to the insurance industry, and in particular to the issue of pricing insurance contracts with embedded options and guarantees.

Spiegel Online

2017 ◽  
pp. 1-11
Author(s):  
Karl Schmedders ◽  
Armin Rott
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Web Site ◽  
Business Plan ◽  
Decision Makers ◽  
Bottom Line ◽  
Art Objects ◽  
Input Parameters ◽  
High Level ◽  
The Impact

Spiegel Online (www.spiegel.de) is the leading news Web site in Germany. The site was first designed to accompany Der Spiegel, one of Europe's largest and Germany's most influential weekly magazine, which has a weekly circulation of around one million. The site's content is produced by a team of more than fifty journalists writing in several categories: politics, business, networld, panorama, arts and entertainment, science, university, school, sports, travel, weather, and automobiles. The original content is complemented by articles purchased from news agencies and selected articles from the print edition. Spiegel-Verlag is a major contributor to the Hamburg Media School, which offers professional master's degree programs in Media Management (MBA), film, and journalism. In their second year, MBA students typically engage in consulting projects with major media companies. In a recent assignment, Spiegel Online posed two questions to the MBA team: are there any chances for an economically successful entry into the market for interactive classifieds? And if so, what should the business model look like in detail? A student team analyzed markets for classified ads and found one market segment that appeared to be particularly promising: the market for art objects. During the development of a business plan for a new venture in this market it became apparent that there is much uncertainty about the key input parameters to the business plan. As a result, it is very difficult to assess the viability of the business idea. How can the team properly account for the uncertain input parameters? What is the impact of this uncertainty on the bottom line? Will a Web site for art objects earn or lose money? How can the team communicate this uncertainty to a group of high-level decision makers who want a simple “go or no-go” recommendation?The objective is to make students aware of the applicability of Monte Carlo simulation to the analysis of complex business plans. Students should learn how to explicitly account for uncertain inputs in a business plan, how to assess the impact of uncertainty on the bottom line via Monte Carlo simulation, and how to communicate the results of their analysis to high-level decision makers.

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