Search results for: squared prediction risk

Authors: Ogbuagu Josephat Okechukwu, Okeke Abuchi Princewill, Arinze Rosemary Uche, Tabugbo Ifeyinwa Blessing, Ogbuagu Adaora Stellamaris

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Phthalates or Phthalate esters (PAEs), categorized as an endocrine disruptor and persistent organic pollutants, are known for their environmental contamination and toxicological effects. In this study, the concentration of selected phthalates was determined across the sampling site to investigate their occurrence and the ecological and health risk assessment they pose to the environment. Water and sediment samples were collected following standard procedures. Solid phase and ultrasonic methods were used to extract seven different PAEs, which were analyzed by Gas Chromatography with Mass Detector (GCMS). The analytical average recovery was found to be within the range of 83.4% ± 2.3%. The results showed that PAEs were detected in six out of seven samples with a high percentage of detection rate in water. Di-n-butyl phthalate (DPB) and disobutyl phthalates (DiBP) showed a greater detection rate compared to other PAE monomers. The concentration of PEs was found to be higher in sediment samples compared to water samples due to the fact that sediments serve as a sink for most persistent organic pollutants. The concentrations of PAEs in water samples and sediments ranged from 0.00 to 0.23 mg/kg and 0.00 to 0.028 mg/l, respectively. Ecological risk assessment using the risk quotient method (RQ) reveals that the estimated environmental risk caused by phthalates lies within the moderate level as RQ ranges from 0.1 to 1.0, whereas the health risk assessment caused by phthalates on estimating the average daily dose reveals that the ingestion of phthalates was found to be approaching permissible limit which can cause serious carcinogenic occurrence in the human system with time due to excess accumulation.

Keywords: phthalates, endocrine disruptor, risk assessment, ecological risk, health risk

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Authors: Diqin Qi, Jiaming Li, Siman Li

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Based on the use of the three-point smoothing method for selectively processing original data columns, this paper establishes a group of grey GM(1,1) models to predict the concentration ranges of four major air pollutants in Shanghai from 2023 to 2024. The results indicate that PM₁₀, SO₂, and NO₂ maintain the national Grade I standards, while the concentration of PM₂.₅ has decreased but still remains within the national Grade II standards. Combining the forecast results, recommendations are provided for the Shanghai municipal government's efforts in air pollution prevention and control.

Keywords: atmospheric pollutant prediction, Grey GM(1, 1), model group, three-point smoothing method

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Authors: Javier E. García-Gallo, Nelson J. Fonseca-Ruiz, John F. Duitama-Munoz

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Sepsis is a syndrome that occurs with physiological and biochemical abnormalities induced by severe infection and carries a high mortality and morbidity, therefore the severity of its condition must be interpreted quickly. After patient admission in an intensive care unit (ICU), it is necessary to synthesize the large volume of information that is collected from patients in a value that represents the severity of their condition. Traditional severity of illness scores seeks to be applicable to all patient populations, and usually assess in-hospital mortality. However, the use of machine learning techniques and the data of a population that shares a common characteristic could lead to the development of customized mortality prediction scores with better performance. This study presents the development of a score for the one-year mortality prediction of the patients that are admitted to an ICU with a sepsis diagnosis. 5650 ICU admissions extracted from the MIMICIII database were evaluated, divided into two groups: 70% to develop the score and 30% to validate it. Comorbidities, demographics and clinical information of the first 24 hours after the ICU admission were used to develop a mortality prediction score. LASSO (least absolute shrinkage and selection operator) and SGB (Stochastic Gradient Boosting) variable importance methodologies were used to select the set of variables that make up the developed score; each of this variables was dichotomized and a cut-off point that divides the population into two groups with different mean mortalities was found; if the patient is in the group that presents a higher mortality a one is assigned to the particular variable, otherwise a zero is assigned. These binary variables are used in a logistic regression (LR) model, and its coefficients were rounded to the nearest integer. The resulting integers are the point values that make up the score when multiplied with each binary variables and summed. The one-year mortality probability was estimated using the score as the only variable in a LR model. Predictive power of the score, was evaluated using the 1695 admissions of the validation subset obtaining an area under the receiver operating characteristic curve of 0.7528, which outperforms the results obtained with Sequential Organ Failure Assessment (SOFA), Oxford Acute Severity of Illness Score (OASIS) and Simplified Acute Physiology Score II (SAPSII) scores on the same validation subset. Observed and predicted mortality rates within estimated probabilities deciles were compared graphically and found to be similar, indicating that the risk estimate obtained with the score is close to the observed mortality, it is also observed that the number of events (deaths) is indeed increasing as the outcome go from the decile with the lowest probabilities to the decile with the highest probabilities. Sepsis is a syndrome that carries a high mortality, 43.3% for the patients included in this study; therefore, tools that help clinicians to quickly and accurately predict a worse prognosis are needed. This work demonstrates the importance of customization of mortality prediction scores since the developed score provides better performance than traditional scoring systems.

Keywords: intensive care, logistic regression model, mortality prediction, sepsis, severity of illness, stochastic gradient boosting

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Authors: Hyeon-Kyo Lim, Hyunjung Kim, Kune-Woo Lee

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Decommissioning process of nuclear facilities can be said to consist of a sequence of problem solving activities, partly because there may exist working environments contaminated by radiological exposure, and partly because there may also exist industrial hazards such as fire, explosions, toxic materials, and electrical and physical hazards. As for an individual hazard factor, risk assessment techniques are getting known to industrial workers with advance of safety technology, but the way how to integrate those results is not. Furthermore, there are few workers who experienced decommissioning operations a lot in the past. Therefore, not a few countries in the world have been trying to develop appropriate counter techniques in order to guarantee safety and efficiency of the process. In spite of that, there still exists neither domestic nor international standard since nuclear facilities are too diverse and unique. In the consequence, it is quite inevitable to imagine and assess the whole risk in the situation anticipated one by one. This paper aimed to find out an appropriate technique to integrate individual risk assessment results from the viewpoint of experts. Thus, on one hand the whole risk assessment activity for decommissioning operations was modeled as a sequence of individual risk assessment steps, and on the other, a hierarchical risk structure was developed. Then, risk assessment procedure that can elicit individual hazard factors one by one were introduced with reference to the standard operation procedure (SOP) and hierarchical task analysis (HTA). With an assumption of quantification and normalization of individual risks, a technique to estimate relative weight factors was tried by using the conventional Analytic Hierarchical Process (AHP) and its result was reviewed with reference to judgment of experts. Besides, taking the ambiguity of human judgment into consideration, debates based upon fuzzy inference was added with a mathematical case study.

Keywords: decommissioning, risk assessment, analytic hierarchical process (AHP), fuzzy inference

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Authors: Lily Ingsrisawang, Tasanee Nacharoen

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Introduction: The problems of unbalanced data sets generally appear in real world applications. Due to unequal class distribution, many research papers found that the performance of existing classifier tends to be biased towards the majority class. The k -nearest neighbors’ nonparametric discriminant analysis is one method that was proposed for classifying unbalanced classes with good performance. Hence, the methods of discriminant analysis are of interest to us in investigating misclassification error rates for class-imbalanced data of three diabetes risk groups. Objective: The purpose of this study was to compare the classification performance between parametric discriminant analysis and nonparametric discriminant analysis in a three-class classification application of class-imbalanced data of diabetes risk groups. Methods: Data from a healthy project for 599 staffs in a government hospital in Bangkok were obtained for the classification problem. The staffs were diagnosed into one of three diabetes risk groups: non-risk (90%), risk (5%), and diabetic (5%). The original data along with the variables; diabetes risk group, age, gender, cholesterol, and BMI was analyzed and bootstrapped up to 50 and 100 samples, 599 observations per sample, for additional estimation of misclassification error rate. Each data set was explored for the departure of multivariate normality and the equality of covariance matrices of the three risk groups. Both the original data and the bootstrap samples show non-normality and unequal covariance matrices. The parametric linear discriminant function, quadratic discriminant function, and the nonparametric k-nearest neighbors’ discriminant function were performed over 50 and 100 bootstrap samples and applied to the original data. In finding the optimal classification rule, the choices of prior probabilities were set up for both equal proportions (0.33: 0.33: 0.33) and unequal proportions with three choices of (0.90:0.05:0.05), (0.80: 0.10: 0.10) or (0.70, 0.15, 0.15). Results: The results from 50 and 100 bootstrap samples indicated that the k-nearest neighbors approach when k = 3 or k = 4 and the prior probabilities of {non-risk:risk:diabetic} as {0.90:0.05:0.05} or {0.80:0.10:0.10} gave the smallest error rate of misclassification. Conclusion: The k-nearest neighbors approach would be suggested for classifying a three-class-imbalanced data of diabetes risk groups.

Keywords: error rate, bootstrap, diabetes risk groups, k-nearest neighbors

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Authors: Armenia Nazar, Sally M. J. Anggelya, Rose Dinda

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Hypertension prevalence in Indonesian has increased from time to time since 2013, especially in women. This cross-sectional analysis study was made to observe the incidence of hypertension on the reproductive women (20-49 years old) with several risk factors who use contraceptive pills. Data was collected from June - October 2016 in the Andalas Public Health Center, East Padang District, Indonesia. An amount of 167 respondents who were taken using consecutive sampling technique were participate in this study. Data of social demography, contraceptive used, duration of use, hypertension risk factors (age, family history, central obesity, body mass index, physical activity, and stress) were collected and analyzed statistically using Chi-Square analysis. Significant was taken at p < 0.05. Results showed that the woman with contraceptive pill was tent to get hypertension (OR = 3,90 and p < 0,001). In addition, woman with a family history OR of 6,77 (p = 0,09), mild physical activity OR of 3,67 (p = 0,33), moderate physical activity OR of 3,33 (p = 0,16), and stressed OR of 5.11 (p = 0.18). These indicated that the contraceptive pill user is 3.9 times more risk to develop hypertension than non-users, especially one with a family history of hypertension. Other risk factors were not associated with hypertension risk in these sex productive women.

Keywords: hypertension, oral contraceptive, sex productive woman, risk factors

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Authors: Xiaoyu Shen, Fang Fang, Chujun Qiu

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Herewith we present a Fourier method for credit risk quantification and allocation in the factor-copula model framework. The key insight is that, compared to directly computing the cumulative distribution function of the portfolio loss via Monte Carlo simulation, it is, in fact, more efficient to calculate the transformation of the distribution function in the Fourier domain instead and inverting back to the real domain can be done in just one step and semi-analytically, thanks to the popular COS method (with some adjustments). We also show that the Euler risk allocation problem can be solved in the same way since it can be transformed into the problem of evaluating a conditional cumulative distribution function. Once the conditional or unconditional cumulative distribution function is known, one can easily calculate various risk metrics. The proposed method not only fills the niche in literature, to the best of our knowledge, of accurate numerical methods for risk allocation but may also serve as a much faster alternative to the Monte Carlo simulation method for risk quantification in general. It can cope with various factor-copula model choices, which we demonstrate via examples of a two-factor Gaussian copula and a two-factor Gaussian-t hybrid copula. The fast error convergence is proved mathematically and then verified by numerical experiments, in which Value-at-Risk, Expected Shortfall, and conditional Expected Shortfall are taken as examples of commonly used risk metrics. The calculation speed and accuracy are tested to be significantly superior to the MC simulation for real-sized portfolios. The computational complexity is, by design, primarily driven by the number of factors instead of the number of obligors, as in the case of Monte Carlo simulation. The limitation of this method lies in the "curse of dimension" that is intrinsic to multi-dimensional numerical integration, which, however, can be relaxed with the help of dimension reduction techniques and/or parallel computing, as we will demonstrate in a separate paper. The potential application of this method has a wide range: from credit derivatives pricing to economic capital calculation of the banking book, default risk charge and incremental risk charge computation of the trading book, and even to other risk types than credit risk.

Keywords: credit portfolio, risk allocation, factor copula model, the COS method, Fourier method

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Authors: A. D. Abdellatif, A. N. Ahmed, M. E. Abdelaziz

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The main purpose of this paper is to design a double acceptance sampling plan under the time truncated life test when the product lifetime follows an exponentiated transmuted Weibull distribution. Here, the motive is to meet both the consumer’s risk and producer’s risk simultaneously at the specified quality levels, while the termination time is specified. A comparison between the results of the double and single acceptance sampling plans is conducted. We demonstrate the applicability of our results to real data sets.

Keywords: double sampling plan, single sampling plan, producer’s risk, consumer’s risk, exponentiated transmuted weibull distribution, time truncated experiment, single, double, Marshal-Olkin

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Authors: Mamiza Haq

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This paper examines the relevance of bank capital and charter value on bank insolvency and liquidity risks. Using an unbalanced panel of 2,111 unique local banks across 22 countries over 1998-2012, we find that both bank capital and charter value lower insolvency and liquidity risks, but this effect varies among conventional, Islamic, and Islamic-window banks. The risk constraining effect of bank capital becomes more prominent in the post 2007-2008 global financial crisis. Moreover, the relationships vary when conditioned upon other key bank-specific characteristics. For instance, the effect of capital on risk-reduction diminishes in the presence of high charter value for conventional-G7 and Islamic-window banks, during-GFC and pre-GFC period; respectively. Our findings have important policy implications related to bank safety. The results are robust to a range of robustness tests.

Keywords: bank capital, charter value, risk, financial crisis

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Authors: Maria Debora Braga, Luigi Riso, Maria Grazia Zoia

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Risk-based approaches to asset allocation are portfolio construction methods that do not rely on the input of expected returns for the asset classes in the investment universe and only use risk information. They include the Minimum Variance Strategy (MV strategy), the traditional (volatility-based) Risk Parity Strategy (SRP strategy), the Most Diversified Portfolio Strategy (MDP strategy) and, for many, the Equally Weighted Strategy (EW strategy). All the mentioned approaches were based on portfolio volatility as a reference risk measure but in 2023, the Kurtosis-based Risk Parity strategy (KRP strategy) and the Minimum Kurtosis strategy (MK strategy) were introduced. Understandably, they used the fourth root of the portfolio-fourth moment as a proxy for portfolio kurtosis to work with a homogeneous function of degree one. This paper contributes mainly theoretically and methodologically to the framework of risk-based asset allocation approaches with two steps forward. First, a new and more flexible objective function considering a linear combination (with positive coefficients that sum to one) of portfolio volatility and portfolio kurtosis is used to alternatively serve a risk minimization goal or a homogeneous risk distribution goal. Hence, the new basic idea consists in extending the achievement of typical risk-based approaches’ goals to a combined risk measure. To give the rationale behind operating with such a risk measure, it is worth remembering that volatility and kurtosis are expressions of uncertainty, to be read as dispersion of returns around the mean and that both preserve adherence to a symmetric framework and consideration for the entire returns distribution as well, but also that they differ from each other in that the former captures the “normal” / “ordinary” dispersion of returns, while the latter is able to catch the huge dispersion. Therefore, the combined risk metric that uses two individual metrics focused on the same phenomena but differently sensitive to its intensity allows the asset manager to express, in the context of an objective function by varying the “relevance coefficient” associated with the individual metrics, alternatively, a wide set of plausible investment goals for the portfolio construction process while serving investors differently concerned with tail risk and traditional risk. Since this is the first study that also implements risk-based approaches using a combined risk measure, it becomes of fundamental importance to investigate the portfolio effects triggered by this innovation. The paper also offers a second contribution. Until the recent advent of the MK strategy and the KRP strategy, efforts to highlight interesting properties of risk-based approaches were inevitably directed towards the traditional MV strategy and SRP strategy. Previous literature established an increasing order in terms of portfolio volatility, starting from the MV strategy, through the SRP strategy, arriving at the EQ strategy and provided the mathematical proof for the “equalization effect” concerning marginal risks when the MV strategy is considered, and concerning risk contributions when the SRP strategy is considered. Regarding the validity of similar conclusions when referring to the MK strategy and KRP strategy, the development of a theoretical demonstration is still pending. This paper fills this gap.

Keywords: risk parity, portfolio kurtosis, risk diversification, asset allocation

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Authors: Aidan J. Bowes, Reaz Hasan

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The automotive industry is continually aiming to develop the aerodynamics of car body design. This may be for a variety of beneficial reasons such as to increase speed or fuel efficiency by reducing drag. However recently there has been a greater amount of focus on wind noise produced while driving. Designers in this industry seek a combination of both simplicity of approach and overall effectiveness. This combined with the growing availability of commercial CFD (Computational Fluid Dynamics) packages is likely to lead to an increase in the use of RANS (Reynolds Averaged Navier-Stokes) based CFD methods. This is due to these methods often being simpler than other CFD methods, having a lower demand on time and computing power. In this investigation the effectiveness of turbulent flow and acoustic noise prediction using RANS based methods has been assessed for different wing mirror geometries. Three different RANS based models were used, standard k-ε, realizable k-ε and k-ω SST. The merits and limitations of these methods are then discussed, by comparing with both experimental and numerical results found in literature. In general, flow prediction is fairly comparable to more complex LES (Large Eddy Simulation) based methods; in particular for the k-ω SST model. However acoustic noise prediction still leaves opportunities for more improvement using RANS based methods.

Keywords: acoustics, aerodynamics, RANS models, turbulent flow

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Authors: Parthiban Srinivasan

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With recent advances in computational power and access to enough data in biosciences, artificial intelligence methods are increasingly being used in drug discovery research. These methods are essentially a series of advanced statistics based exercises that review the past to indicate the likely future. Our goal is to develop a model that accurately predicts biological activity and toxicity parameters for novel compounds. We have compiled a robust library of over 150,000 chemical compounds with different pharmacological properties from literature and public domain databases. The compounds are stored in simplified molecular-input line-entry system (SMILES), a commonly used text encoding for organic molecules. We utilize an automated process to generate an array of numerical descriptors (features) for each molecule. Redundant and irrelevant descriptors are eliminated iteratively. Our prediction engine is based on a portfolio of machine learning algorithms. We found Random Forest algorithm to be a better choice for this analysis. We captured non-linear relationship in the data and formed a prediction model with reasonable accuracy by averaging across a large number of randomized decision trees. Our next step is to apply deep neural network (DNN) algorithm to predict the biological activity and toxicity properties. We expect the DNN algorithm to give better results and improve the accuracy of the prediction. This presentation will review all these prominent machine learning and deep learning methods, our implementation protocols and discuss these techniques for their usefulness in biomedical and health informatics.

Keywords: deep learning, drug discovery, health informatics, machine learning, toxicity prediction

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Authors: Nishank Raisinghani

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Efficiently predicting drug response remains a challenge in the realm of drug discovery. To address this issue, we propose four model architectures that combine graphical representation with varying positions of multiheaded self-attention mechanisms. By leveraging two types of multi-omics data, transcriptomics and genomics, we create a comprehensive representation of target cells and enable drug response prediction in precision medicine. A majority of our architectures utilize multiple transformer models, one with a graph attention mechanism and the other with a multiheaded self-attention mechanism, to generate latent representations of both drug and omics data, respectively. Our model architectures apply an attention mechanism to both drug and multiomics data, with the goal of procuring more comprehensive latent representations. The latent representations are then concatenated and input into a fully connected network to predict the IC-50 score, a measure of cell drug response. We experiment with all four of these architectures and extract results from all of them. Our study greatly contributes to the future of drug discovery and precision medicine by looking to optimize the time and accuracy of drug response prediction.

Keywords: drug discovery, transformers, graph neural networks, multiomics

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Authors: Ling Qi, Matloob Khushi, Josiah Poon

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This paper introduces a pre-trained Masked Candlestick Model (MCM) for trading time-series data. The pre-trained model is based on three core designs. First, we convert trading price data at each data point as a set of normalized elements and produce embeddings of each element. Second, we generate a masked sequence of such embedded elements as inputs for self-supervised learning. Third, we use the encoder mechanism from the transformer to train the inputs. The masked model learns the contextual relations among the sequence of embedded elements, which can aid downstream classification tasks. To evaluate the performance of the pre-trained model, we fine-tune MCM for three different downstream classification tasks to predict future price trends. The fine-tuned models achieved better accuracy rates for all three tasks than the baseline models. To better analyze the effectiveness of MCM, we test the same architecture for three currency pairs, namely EUR/GBP, AUD/USD, and EUR/JPY. The experimentation results demonstrate MCM’s effectiveness on all three currency pairs and indicate the MCM’s capability for signal extraction from trading data.

Keywords: masked language model, transformer, time series prediction, trading prediction, embedding, transfer learning, self-supervised learning

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Authors: Amira Abdelrasoul, Huu Doan, Ali Lohi

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An efficient and well-planned ultrafiltration process is becoming a necessity for monetary returns in the industrial settings. The aim of the present study was to develop a mathematical model for an accurate prediction of ultrafiltration membrane fouling of latex effluent applied to homogeneous and heterogeneous membranes with uniform and non-uniform pore sizes, respectively. The models were also developed for an accurate prediction of power consumption that can handle the large-scale purposes. The model incorporated the fouling attachments as well as chemical and physical factors in membrane fouling for accurate prediction and scale-up application. Both Polycarbonate and Polysulfone flat membranes, with pore sizes of 0.05 µm and a molecular weight cut-off of 60,000, respectively, were used under a constant feed flow rate and a cross-flow mode in ultrafiltration of the simulated paint effluent. Furthermore, hydrophilic ultrafilic and hydrophobic PVDF membranes with MWCO of 100,000 were used to test the reliability of the models. Monodisperse particles of 50 nm and 100 nm in diameter, and a latex effluent with a wide range of particle size distributions were utilized to validate the models. The aggregation and the sphericity of the particles indicated a significant effect on membrane fouling.

Keywords: membrane fouling, mathematical modeling, power consumption, attachments, ultrafiltration

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Authors: Orla Muldoon, Tamaryn Nicolson, Mike Quayle, Aisling O'Donnell

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Psychology most often considers the role of experience and behaviour in shaping health at the individual level. On the other hand epidemiology has long considered risk at the wider group or structural level. Here we use the social identity approach to integrate group-level risk with individual level behaviour. Using a social identity approach we demonstrate that group or macro-level factors impact implicitly and profoundly in everyday ways at the level of individuals, via social identities. We illustrate how identities related to race, gender and inequality intersect to affect HIV/AIDS risk and AIDS treatment behaviours; how social identity processes drive stigmatising consequences of HIV and AIDS, and promote positive and effective interventions. We conclude by arguing that the social identity approach offers the field an explanatory framework that conceptualizes how social and political forces intersect with individual identity and agency to affect human health.

Keywords: social identity approach, HIV/AIDS, Africa, HIV risk, race, gender

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Authors: Rami S. Alasmari, Abdullah Al Zahrani, Hattan A. Hassani, Hattan A. Hassani, Nawwaf A. Almalky, Abdullah F. Bokhari, Alwalied A. Hafez

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Diabetes mellitus type 2 (DMT2) is a major chronic condition that is considered common among elderly people, with multiple potential complications that could contribute to falls. However, this concept is not well understood, thus, the aim of this study is to determine whether diabetes is an independent risk factor for falls in elderly. In this observational cross-sectional study, 309 diabetic patients aged 60 or more who visited the primary healthcare centers of the Ministry of National Guard Health Affairs in Jeddah were chosen via convenience sampling method. To collect the data, Semi-structured Fall Risk Assessment questionnaire and Fall Efficacy Score scale were used. The mean age of the participants was estimated to be 68.5 (SD:7.4) years. Among the participants, 48.2% experienced falling before, and 63.1% of them suffered falls in the past 12-months. The results showed that gait problems were independently associated with a higher likelihood of fall among the elderly patients (OR = 1.98, 95%CI, 1.08 to 3.62, p = 0.026. This paper suggests that diabetes mellitus is an independent fall risk factor among elderly. Therefore, identifying such patients as being at higher risk and prompt referral to a specialist falls clinic is recommended.

Keywords: diabetes, fall, elderly, risk factors

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Authors: Haluk Eren, Ümit Çelik

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Recent developments in unmanned aerial vehicles (UAVs) have begun to attract intense interest. UAVs started to use for many different applications from military to civilian use. Some online retailer and logistics companies are testing the UAV delivery. UAVs have great potentials to reduce cost and time of deliveries and responding to emergencies in a short time. Despite these great positive sides, just a few works have been done for routing of UAVs for package deliveries. As known, transportation of goods from one place to another may have many hazards on delivery route due to falling hazards that can be exemplified as ground objects or air obstacles. This situation refers to wide-range insurance concept. For this reason, deliveries that are made with drones get into the scope of shipping insurance. On the other hand, air traffic was taken into account in the absence of unmanned aerial vehicle. But now, it has been a reality for aerial fields. In this study, the main goal is to conduct risk analysis of package delivery services using drone, based on delivery routes.

Keywords: aerial package delivery, insurance estimation, territory risk map, unmanned aerial vehicle, route risk estimation, drone risk assessment, drone package delivery

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Authors: Silvia Faroni, Olivier Le Courtois, Krzysztof Ostaszewski

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While a lot of research concentrates on the merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on explaining why regulators favor the choice of VaR or TCE in their set of rules. In this paper, we investigate the preferences of regulators with the aim of understanding why, for instance, a VaR with a given confidence level is ultimately retained. Further, this paper provides equivalence rules that explain how a given choice of VaR can be equivalent to a given choice of TCE. Then, we introduce a new risk indicator that extends TCE by providing a more versatile weighting of the constituents of probability distribution tails. All of our results are illustrated using the generalized Pareto distribution.

Keywords: generalized pareto distribution, generalized tail conditional expectation, regulator preferences, risk measure

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Authors: Uche A. Ibekwe

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Pension funds are pooled assets which are established to provide income for retirees. The funds are usually regulated to check excessive risk taking by fund managers. In Nigeria, the current defined contribution (DC) pension scheme appears to contain some overly stringent restrictions which might be hampering its successful implementation. Notable among these restrictions is the 25 percent maximum limit on investment in ordinary shares of quoted companies. This paper examines the extent to which these restrictions affect pension replacement rates at retirement. The study made use of both simulated and historical asset return distributions using mean-variance, regression analysis and ruin-risk analyses, the study found that the current equity investment restriction policy in Nigeria reduces replacement rates at retirement.

Keywords: equity investment, replacement rates, restrictions, ruin-risk

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Authors: Malani Herath, Sohan Wijesekera, Jagath Munasingha

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The impact of recent floods become significant, and the extraordinary flood events cause considerable damage to lives, properties, environment and negatively affect the whole development of Colombo urban region. Even though the Colombo urban region experiences recurrent flood impacts, several spatial planning interventions have been taken from time to time since early 20th century. All past plans have adopted a traditional approach to flood management, using infrastructural measures to reduce the chance of flooding together with rigid planning regulations. The existing flood risk management practices do not operate to be acceptable by the local community particular the urban poor. Researchers have constantly reported the differences in estimations of flood risk, priorities, concerns of experts and the local community. Risk-based decision making in flood management is not only a matter of technical facts; it has a significant bearing on how flood risk is viewed by local community and individuals. Moreover, sustainable flood management is an integrated approach, which highlights joint actions of experts and community. This indicates the necessity of further societal discussion on the acceptable level of flood risk indicators to prioritize and identify the appropriate flood management measures in Colombo. The understanding and evaluation of flood risk by local people are important to integrate in the decision-making process. This research questioned about the gap between the acceptable level of flood risk to spatial planners and to the local communities in Colombo. A comprehensive literature review was conducted to prepare a framework to analyze the public perception in Colombo. This research work identifies the factors that affect the variation of flood risk and acceptable levels to both local community and planning authorities.

Keywords: Colombo basin, public perception, urban flood risk, multi-criteria analysis

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Authors: Alwyn John Lim

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Philippines is one of the most vulnerable areas to natural disasters in the world. Almost every year different types of natural disasters occur in Philippines and destroy many lives and resources of people. Although it is not possible to prevent the occurrence of disasters influenced by natural causes, proper plan and management such as disaster risk reduction may minimize the damage cause by natural disasters. Based on literature review this paper will analyze literatures on public/community awareness and education in disaster risk reduction that would help promote a country wide public disaster awareness and education program in the Philippines. This will include best practices and importance of community disaster awareness and education. The paper will also tackle ICT tools that will help boost the process and effectiveness of community/public disaster awareness and education.

Keywords: community awareness, disaster education, disaster risk reduction, Philippines

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Authors: Shivdayal Patel, Suhail Ahmad

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Safety assurance and failure prediction of composite material component of an offshore structure due to low velocity impact is essential for associated risk assessment. It is important to incorporate uncertainties associated with material properties and load due to an impact. Likelihood of this hazard causing a chain of failure events plays an important role in risk assessment. The material properties of composites mostly exhibit a scatter due to their in-homogeneity and anisotropic characteristics, brittleness of the matrix and fiber and manufacturing defects. In fact, the probability of occurrence of such a scenario is due to large uncertainties arising in the system. Probabilistic finite element analysis of composite plates due to low-velocity impact is carried out considering uncertainties of material properties and initial impact velocity. Impact-induced damage of composite plate is a probabilistic phenomenon due to a wide range of uncertainties arising in material and loading behavior. A typical failure crack initiates and propagates further into the interface causing de-lamination between dissimilar plies. Since individual crack in the ply is difficult to track. The progressive damage model is implemented in the FE code by a user-defined material subroutine (VUMAT) to overcome these problems. The limit state function is accordingly established while the stresses in the lamina are such that the limit state function (g(x)>0). The Gaussian process response surface method is presently adopted to determine the probability of failure. A comparative study is also carried out for different combination of impactor masses and velocities. The sensitivity based probabilistic design optimization procedure is investigated to achieve better strength and lighter weight of composite structures. Chain of failure events due to different modes of failure is considered to estimate the consequences of failure scenario. Frequencies of occurrence of specific impact hazards yield the expected risk due to economic loss.

Keywords: composites, damage propagation, low velocity impact, probability of failure, uncertainty modeling

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Authors: F. Esfandyari Darabad, Z. Samadi

Abstract:

Natural environments have always been affected by one of the most important natural hazards, which is called, the mass movements that cause instability. Identifying the unstable regions and separating them so as to detect and determine the risk of environmental factors is one of the important issues in mountainous areas development. In this study, the northwest of Sabalan hillsides overlooking the Meshkin city and the surrounding area of that have been delimitated, in order to analyze the range processes such as landslides and debris flows based on structural and geomorphological conditions, by means of using GIS. This area due to the high slope of the hillsides and height of the region and the poor localization of roads and so because of them destabilizing the ranges own an inappropriate situation. This study is done with the purpose of identifying the effective factors in the range motion and determining the areas with high potential for zoning these movements by using GIS. The results showed that the most common range movements in the area, are debris flows, rocks falling and landslides. The effective factors in each one of the mass movements, considering a small amount of weight for each factor, the weight map of each factor and finally, the map of risk zoning for the range movements were provided. Based on the zoning map resulted in the study area, the risking level of damaging has specified into the four zones of very high risk, high risk, medium risk, low risk, in which areas with very high and high risk are settled near the road and along the Khyav river and in the  mountainous district.

Keywords: debris flow, environmental hazards, GIS, landslide

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Authors: Patraporn Kaewkhanitarak, Weerawan Marangkun

Abstract:

The objective of this study was to explore the establishment and to investigate the relationship between the gender (male or female) of SME owner-managers/ entrepreneurs and their risk perception in business activity. The study examines the data by interviewing 76 SME owner-managers/entrepreneurs’ responses (37 males, 39 females) in manufacturing, finance, human resources and marketing sector in the economic regions of Songkhla province, Thailand. This study found that four tools which were operation, cash flow, staff, and new market were perceived by the SME owner-managers/entrepreneurs at high level. However, male and female SME owner-managers/entrepreneurs perceived some factors such as the age of SME owner-managers/entrepreneurs, the duration of firm operation, type of firm, and type of business without significant differences. In contrast, the gender affected the risk perception about increasing cost, fierce competition, leapfrog development of firm, substandard staff, namely that male and female perceived these factors with significant differences. According to the research, SME owner-managers/entrepreneurs should develop their risk management competency to deal with the risk efficiently. Secondly, SME firms should gather into groups. Furthermore, it was shown that the five key tools used to manage these risky situations were the use of managerial competencies and clustering.

Keywords: risk perception, owner-managers/entrepreneurs, SME, Songkhla, Thailand

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Authors: Mohamed Elhakeem, A. N. Thanos Papanicolaou, Christopher Wilson, Yi-Jia Chang

Abstract:

In this study, a physically-based, modelling framework was developed to predict saturated hydraulic conductivity (KSAT) dynamics in the Clear Creek Watershed (CCW), Iowa. The modelling framework integrated selected pedotransfer functions and watershed models with geospatial tools. A number of pedotransfer functions and agricultural watershed models were examined to select the appropriate models that represent the study site conditions. Models selection was based on statistical measures of the models’ errors compared to the KSAT field measurements conducted in the CCW under different soil, climate and land use conditions. The study has shown that the predictions of the combined pedotransfer function of Rosetta and the Water Erosion Prediction Project (WEPP) provided the best agreement to the measured KSAT values in the CCW compared to the other tested models. Therefore, Rosetta and WEPP were integrated with the Geographic Information System (GIS) tools for visualization of the data in forms of geospatial maps and prediction of KSAT variability in CCW due to the seasonal changes in climate and land use activities.

Keywords: saturated hydraulic conductivity, pedotransfer functions, watershed models, geospatial tools

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Authors: Andrey Lebedev, Ilya Dmitrenok, JooYoung Lee, Leonard Johard

Abstract:

Top-k shortest path routing problem is an extension of finding the shortest path in a given network. Shortest path is one of the most essential measures as it reveals the relations between two nodes in a network. However, in many real world networks, whose diameters are small, top-k shortest path is more interesting as it contains more information about the network topology. Many variations to compute top-k shortest paths have been studied. In this paper, we apply an efficient top-k shortest distance routing algorithm to the link prediction problem and test its efficacy. We compare the results with other base line and state-of-the-art methods as well as with the shortest path. Then, we also propose a top-k distance based graph matching algorithm.

Keywords: graph matching, link prediction, shortest path, similarity

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Authors: Fatemeh Abdollahi, Mehran Zarghami, Jamshid Yazdani Jarati, Mun-Sunn Lye

Abstract:

Fathers may be at risk of depression during the postpartum period. Some studies have been reported maternal depression is the key predictor of paternal postpartum depression (PPD). This study aimed to explore this association. Using a cross-sectional study design, 591 couples referring to primary health centers at 2-8 weeks postpartum (during 2017) were recruited. Couples screened for depression using Edinburgh Postnatal Depression Scale (EPDS). Data on socio-demographic characteristics and psychosocial factors was also gathered. Paternal PPD was analyzed in relation to maternal PPD and other related factors using multiple regressions. The prevalence of Paternal and maternal postpartum depression was 15.7% (93) and 31.8% (188), respectively. The regression model showed that there was increased risk of PPD in fathers whose wives experienced PPD [OR=1.15, (95%CI: 1.04-1.27)], who had a lower state of general health [OR=1.21, (95%CI: 1.11-1.33)], who experienced increased number of life events [OR=1.42, (95%CI: 1.01-1.2.00)], and who were at older age [OR=1.20, (95%CI: 1.05- 1.36)]. Also, there was a decreased risk of depression in fathers with more children compared with those with fewer children [OR=0.20, (95%CI: 0.07-0.53)]. Maternal PPD and psychosocial risk factors were the strong predictors of parental PPD. Being grown up in a family with two depressed parents are an important issue for children and needs futher research and attention.

Keywords: Father, Mother, Postpartum depression, Risk factors

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Authors: Ping Xu, Gregory T. Golm, Guanghan (Frank) Liu

Abstract:

In the presence of competing events, traditional survival analysis may not be appropriate and can result in biased estimates, as it assumes independence between competing events and the event of interest. Instead, competing risk analysis should be considered to correctly estimate the survival probability of the event of interest and the hazard ratio between treatment groups. The COVID-19 pandemic has provided a potential source of competing risks in clinical trials, as participants in trials may experienceCOVID-related competing events before the occurrence of the event of interest, for instance, death due to COVID-19, which can affect the incidence rate of the event of interest. We have performed simulation studies to compare multiple competing risk analysis models, including the cumulative incidence function, the sub-distribution hazard function, and the cause-specific hazard function, to the traditional survival analysis model under various scenarios. We also provide a general recommendation on conducting competing risk analysis in randomized clinical trials during the era of the COVID-19 pandemic based on the extensive simulation results.

Keywords: competing risk, survival analysis, simulations, randomized clinical trial, COVID-19 pandemic

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Authors: Faizul Azly Abd Dzubir, Muhammad F. Othman

Abstract:

Conventional structural health monitoring approach for mechanical equipment uses inspection data from Non-Destructive Testing (NDT) during plant shut down window and fitness for service evaluation to estimate the integrity of the equipment that is prone to crack damage. Yet, this forecast is fraught with uncertainty because it is often based on assumptions of future operational parameters, and the prediction is not continuous or online. Advanced Diagnostic and Prognostic Technology (ADaPT) uses Acoustic Emission (AE) technology and a stochastic prognostic model to provide real-time monitoring and prediction of mechanical defects or cracks. The forecast can help the plant authority handle their cracked equipment before it ruptures, causing an unscheduled shutdown of the facility. The ADaPT employs process historical data trending, finite element analysis, fitness for service, and probabilistic statistical analysis to develop a prediction model for crack initiation and growth due to mechanical damage. The prediction model is combined with live equipment operating data for real-time prediction of the remaining life span owing to fracture. ADaPT was devised at a hot combined feed exchanger (HCFE) that had suffered creep crack damage. The ADaPT tool predicts the initiation of a crack at the top weldment area by April 2019. During the shutdown window in April 2019, a crack was discovered and repaired. Furthermore, ADaPT successfully advised the plant owner to run at full capacity and improve output by up to 7% by April 2019. ADaPT was also used on a coke drum that had extensive fatigue cracking. The initial cracks are declared safe with ADaPT, with remaining crack lifetimes extended another five (5) months, just in time for another planned facility downtime to execute repair. The prediction model, when combined with plant information data, allows plant operators to continuously monitor crack propagation caused by mechanical damage for improved maintenance planning and to avoid costly shutdowns to repair immediately.

Keywords: mechanical damage, cracks, continuous monitoring tool, remaining life, acoustic emission, prognostic model

Procedia PDF Downloads 76