Related papers: Report for the Edinburgh Tram Inquiry
In risk management it is desirable to grasp the essential statistical features of a time series representing a risk factor. This tutorial aims to introduce a number of different stochastic processes that can help in grasping the essential…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
This paper offers a critical view of the "worst-case" approach that is the cornerstone of robust control design. It is our contention that a blind acceptance of worst-case scenarios may lead to designs that are actually more dangerous than…
Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities.…
Risk Assessment is a well known and powerful method for discovering and mitigating risks, and hence improving safety. Ethical Risk Assessment uses the same approach but extends the envelope of risk to cover ethical risks in addition to…
We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for…
Electrical infrastructures provide services at the basis of a number of application sectors, several of which are critical from the perspective of human life, environment or financials. Following the increasing trend in electricity…
This paper examines three independent explanatory variables and their relation with cost overrun in order to decide whether this is different for Dutch infrastructure projects compared to worldwide findings. The three independent variables…
The main problems in transportation are accidents, increasingly slow traffic flow, and pollution. An intelligent transportation system (ITS) using external infrastructure can overcome these problems. For this reason, the number of such…
We introduce a simple but effective method for managing risk in model-based reinforcement learning with trajectory sampling that involves probabilistic safety constraints and balancing of optimism in the face of epistemic uncertainty and…
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…
This report examines a novel risk associated with current (and projected) AI tools. Making effective decisions about future actions requires us to reason under uncertainty (RUU), and doing so is essential to many critical real world…
The entropic risk measure is widely used in high-stakes decision-making across economics, management science, finance, and safety-critical control systems because it captures tail risks associated with uncertain losses. However, when data…
Understanding the impacts of U-turn configurations on intersection safety and traffic operations is essential for developing effective strategies to enhance road safety and efficiency. Extensive research has been conducted to investigate…
The railway timetables are designed in an optimal manner to maximize the capacity usage of the infrastructure concerning different objectives besides avoiding conflicts. The real-time railway traffic management problem occurs when the…
Built upon the risk analysis methodology (presented in the part I paper), this part II paper focuses on applying this methodology. Five illustrative scenarios were used to analyze the best or worst cases and compare the transportation risk…
This paper highlights an important, if under-examined, set of questions about the deployment of machine learning technologies in the field of disaster risk management (DRM). While emerging tools show promising capacity to support scientific…
Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson [120] because of its ability to account for fluctuations about the mean, its connection with $H_\infty$ control, and its application to…
Risk is a fundamental consideration when designing electronic systems. For most systems a view of risk can assist in setting design objectives, whereas both a qualitative and quantitative understanding of risk is mandatory when considering…
The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios…