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Suitability of Capital Allocations for Performance Measurement [PDF]
, 2014 Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement framework.
Kromer, Eduard, Overbeck, Ludger
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BMC Health Services Research, 2023 Background The recent rising health spending intrigued efficiency and cost-based performance measures. However, mortality risk adjustment methods are still under consideration in cost estimation, though methods specific to cost estimate have been ...
Juyoung Kim +6 more
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Frontiers in Physics, 2023 China is a large oil-consuming country, and sharp fluctuations in oil prices are bound to be detrimental to the stable growth of its economy. Therefore, accurately grasping the impact of the oil market on China’s sectors is the key to ensuring its ...
Tingwei Fang +3 more
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VR-PMS: a new approach for performance measurement and management of industrial systems [PDF]
, 2013 A new performance measurement and management framework based on value and risk is proposed. The proposed framework is applied to the modelling and evaluation of the a priori performance evaluation of manufacturing processes and to deciding on their ...
ETIENNE, Alain +3 more
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Methods for measuring risk-aversion: problems and solutions [PDF]
Journal of Physics: Conference Series, 2013 Risk-aversion is a fundamental parameter determining how humans act when required to operate in situations of risk. Its general applicability has been discussed in a companion presentation, and this paper examines methods that have been used in the past to measure it and their attendant problems.
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Policy Gradient Methods for Distortion Risk Measures
, 2021 We propose policy gradient algorithms which learn risk-sensitive policies in a reinforcement learning (RL) framework. Our proposed algorithms maximize the distortion risk measure (DRM) of the cumulative reward in an episodic Markov decision process in on-policy and off-policy RL settings, respectively. We derive a variant of the policy gradient theorem
Vijayan, Nithia, A, Prashanth L.
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The Midweight Method to Measure Attitudes Toward Risk and Ambiguity [PDF]
Management Science, 2011 This paper introduces a parameter-free method for measuring the weighting functions of prospect theory and rank-dependent utility. These weighting functions capture risk attitudes, subjective beliefs, and ambiguity attitudes. Our method, called the midweight method, is based on a convenient way to obtain midpoints in the weighting function scale.
van de Kuilen, G., Wakker, P.P.
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Capital allocation for credit portfolios with kernel estimators [PDF]
, 2008 Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss distribution.
Dev A +15 more
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A Tractable Method for Measuring Nanomaterial Risk Using Bayesian Networks [PDF]
Nanoscale Research Letters, 2016 While control banding has been identified as a suitable framework for the evaluation and the determination of potential human health risks associated with exposure to nanomaterials (NMs), the approach currently lacks any implementation that enjoys widespread support.
Murphy, Finbarr +9 more
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A Comparative Analysis of Quantitative Operational Risk Measurement Methods
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie, 2015 Tytuł artykułu: Analiza porównawcza ilościowych metod pomiaru ryzyka operacyjnego Z każdym rokiem zwiększa się liczba renomowanych firm na liście takich podmiotów jak Enron, WorldCom, Sumitomo Corp., które straciły miliony dolarów w rezultacie błędnych
Michał Thlon
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