In this thesis, we are concerned with the finite-time ruin probabilities in two alternative dependent risk models, the insurance risk model and the dual risk model, including the numerical evaluation of the explicit expressions for these quantities and the application of the probabilistic results obtained. We first investigate the numerical properties of the formulas for the finite-time ruin probability derived by Ignatov and Kaishev (2000, 2004) and Ignatov et al. (2001) for a generalized insurance risk model allowing dependence. Efficient numerical algorithms are proposed for computing the ruin probability with a prescribed accuracy in order to facilitate the following studies. We then propose a new definition of alarm time in the insurance risk model, which generalizes that of Das and Kratz (2012), expressed in terms of the joint distribution of the time to ruin and the deficit at ruin. The alarm time is devised to warn that the future ruin probability within a finite-time window has reached a pre-specified critical level and capital injection is required. Due to our definition, the implementation of the alarm time highly relies on the computation of the finite-time ruin probability, which utilizes the previous results on computing the ruin probability with a prescribed accuracy. The results of the ruin probability and the alarm time are then transferred nicely to a generalized dual risk model, whose name stems from its duality to the insurance risk model, through an enlightening link established between the two risk models. Finally, based on the two alternative risk models, we introduce a framework for analyzing the risk of systems failure based on estimating the failure probability, and illustrate how the probabilistic models and results obtained can be applied as risk analytic tools in various practical risk assessment situations, such as systems reliability, inventory management, flood control via dam management, infection disease spread and financial insolvency.

This thesis applies an ethnographic, qualitative research approach to a central question: In what ways does the presence of cognitive biases impact negatively on project management decision-making in the film industry? Are there ways that biases can best be avoided or at least reduced? This thesis cites evidence that managers are consistently unable to devise ways of effectively escaping the impact of cognitive bias, and that the majority are unaware of potential negative bias. My study explores whether and in what ways a deep knowledge of cognitive bias helps surmount the apparent limitations it imposes. My findings suggest that strategies involving cognitive behavioural theory provide researchers with significant insights into our understanding of creative management strategies to manage projects. Building on an extensive body of literature focused on biases in decision-making and their impact on forecasting, implementation and strategy, my thesis explores the concept that deep-seated cognitive habits have a direct impact on entrepreneurs’ ability to manage creative projects successfully. Drawing on my ethnographic and participant observer data over two decades of film industry research and practitioner-derived experience, I examine how useful cognitive bias theory is from a practical perspective. The film industry provides a rich seam of research and an intriguing case site. It provides a relevant environment to interrogate because film companies are essentially organised around projects. I cite evidence that suggests that managers capable of ‘switching gears’ and who openly acknowledge and embrace the role cognition plays in the leadership process gain both a creative and a competitive advantage. By testing this concept through the lens of the value chain model, we can begin to develop a cognitive methodology that inspires practical tools capable of navigating uncertainty and capturing value and knowledge.

This thesis is concerned with the assessment, perception and insurance of credit risk. The thesis aims to make contributions both within these areas, and at specific points of interface between them. No attempt is made to develop a single unifying thesis. Rather, a series of partial models are developed, both theoretical and empirical, that develop and connect particular facets of financial economics. The first model demonstrates how movements in market risk produce movements in lender risk-assessment effort. It is demonstrated that deleterious movements in market-wide risk can actually produce a fall in assessment effort. The capricious nature of risk assessment causes changes in the lender's perception of the weights placed on determinants. This has important implications for borrowers' attempts to minimize risk premiums. Time-variability of signal-weights is tested using structural break tests on ordinary least squares and fixed effects panel models. Results suggest a fluid relationship between risk and determinants. Central to empirical investigation is the measurement of perceived risk. A critique of potential measures rejects the use of interest rate spreads - the most commonly used measure - on the basis that they do not take into account the possibility of credit rationing. A model is then constructed to reproduce the standard explanation of credit rationing - Adverse Selection induced Credit Rationing Equilibrium (ASCRE). This model is then extended to include classificatory risk assessment. Assessment is found to reduce the scope for ASCRE, and to cause favourable selection. Credit insurance is then included, and it is found that insurance cover makes risk assessment less of an imperative to lenders, and reduces the utility losses from raising interest rates. The parallel implication is that credit insurance weakens ASCRE, to the extent that full insurance with flat-rate premiums removes the possibility of ASCRE altogether. If the terms of insurance are made contingent on the terms of the loan, a new form of credit rationing emerges: Contingent Insurance induced Credit Rationing Equilibrium (CICRE). CICRE is separate, but not mutually exclusive, to ASCRE. A theoretical model of the demand for loan insurance is developed, and empirically estimated, in the context of the UK mortgage market. Inter alia, the model examines the role of auto-perception of risk determining credit insurance demand. Results reveal the take-up of credit insurance to be relatively insensitive to the borrower's perception ofhis/her own risk.

This research explores the management of risk in operations. It explores the different structures influencing the treatment of risk and the influence on managerial risk taking behaviours. There is limited understanding within the extant literature of the different treatment strategies for risk in operations and what influences selection of treatment strategy. This research employs an abductive approach iterating between the theoretical and empirical. There are four levels of analysis: the firm, the function, the group and the individual. The research was conducted in two European Energy companies. The research found that there is a complex interaction between organizational structures and individual perceptions in managing risk. Corporate risk structures have limited influence on the selection of risk treatments. The specification of business function (service or asset focus) informs the process of risk management and use of systems. Use of systems and valuation techniques underpin the risk prioritization process and specifically the assessment of risk. There is an order of decision influences that reflects the Levers of Control (Simons, 1995; 1998): Risk treatments are prohibited by boundary systems. Secondly, individual’s beliefs influence positive selection of treatment, and third where a treatment has not been selected through beliefs, the performance system is consulted. The performance system is most likely to influence selection of risk acceptance or risk mitigation. It is found that classification of risk has more than a semantic influence on perception and risk treatment; it can prohibit uses of certain treatments and inform priority. Understanding of the decision process matures and increases in complexity in senior managers. It is found that the performance system has influences on manager’s beliefs and in the long term, reflecting vision and mission the implementation of boundary conditions.

The field of modern project management is not new, and what seems to have changed over the past decade is the evolution of techniques applying theory into practice. This had as a consequence for the need to standardise and structure different processes of project management, in a detailed, documented and formal manner. On the other hand, change management seen as an integrated process within project management is a rational process for exploring decision and behaviour alternatives in an attempt to realign the course of ‘derailed’ deliverables due to change and ensure project success. However, models contained in such frameworks often lack formal semantics and clarity; generally fail to address and assess organisational change management risk reasoning, in a rather detailed way as they do for the majority of the project management processes. Since, uncontrolled changes might have an effect on the projects’ success, it is vital to assess the probability of materialisation (risk) of success before the decision is made and whether to proceed with the change or not. For example, if the change dramatically increases the risk of failure then it is logical to assume that avoiding that implementation is the right decision. Ideally, a change or consequence based upon a decision should have a low impact and a fairly high level of predictability. This research, takes the challenge to propose a novel modelling approach, which will contribute significantly to the missing formality of business models especially in the change risks assessment area. The introduction of Change Risk Assessment Model (CRAM) allows the identification and definition of speculative relationships, between change risks in the form of hierarchical risk tree analysis. Overall, the method is dynamic and flexible enough that can be tailored to various project requirements, taking into account significant environmental risk factors which influence project deliverables. Project success is a key objective for today’s organisations; professionals can make use of a new methodology for risk assessment, compatible with project management frameworks which currently seems to be missing from literature. Project management methodologies are not a panacea against project failure; nevertheless, CRAM can be regarded as a comprehensive modelling approach which combines both quantitative and qualitative risk criteria analysis in decision making processes.

The ongoing shift from Defined Benefit (DB) pension plans to Defined Contribution (DC) pension plans in private sectors has transferred investment risk and longevity risk from pension providers to individuals. Professional advice on how to best generate retirement incomes from accumulated pension savings is therefore in great demand. A common solution is buying an immediate annuity; however the immediate annuity market has long been experiencing low demand. Another solution is following a safe drawdown rate during retirement; however this exposes retirees to the risk of outliving their pension savings. In recent years, behavioral factors have been successful in explaining individuals’ decision-making process, this thesis is therefore devoted to the investigation of the low demand of immediate annuities by considering behavioral models; and the use of annuity products in optimal decumulation strategy designs. This thesis has two major contributions. First, both Cumulative Prospect Theory (CPT) and Hyperbolic discount model can explain the low demand of immediate annuities and suggest that people would be willing to purchase deferred annuities. This has laid a research foundation for introducing and promoting the deferred annuity product. Second, we provide an optimal partial annuitisation strategy involving deferred annuities in a utility maximisation decumulation plan. In the proposed strategy the retirement period is divided into two stages: a stage where pensioners use their savings to cover their living expenses and a second stage where a payment stream from deferred annuities is available. This strategy effectively helps retirees manage the longevity risk at advanced ages and turns the drawdown plan from accumulated savings into an easier decision than before – because of a fixed rather than unknown drawdown period.

This thesis addresses the need to reduce inefficiencies in management of insurance company risk capital. The laxity in managing the cost of capital is a result of dysfunctional property/casualty risk classification and capital accumulation practices in the insurance industry. We reclassify risk based on both peril and financial functional features, in order to capture all the facets of risk affecting a firm and ultimately to achieve optimal capital allocation. With the purpose of reducing inefficiencies in mind, we explore and isolate the impact of regulation on insurance company profitability. We use barrier option pricing models to mimic the impact of solvency requirements on firm-wide risk. This methodology of measuring risk is better than plain vanilla option pricing models, in that, through the option to an early default, we are able to capture the economic significance of financial distress, and allocate firm-wide risk capital. The firm-wide risk is incidentally used to empirically test the impact of risk on the cost of carry, the quality of operational profitability and forward asset commitment per unit of liabilities. Our empirical test confirms a strong relationship between firm-level risk, and the cost of carry, return on policyholders' surplus and the cost of capital per contract underwritten. The results are better than previous results obtained using plain vanilla option-pricing models and reveal the importance of incorporating solvency requirements in defining the economic significance of insolvency. The results also points to the importance of advised risk classification procedures to the whole process of integrated risk measurement and financing, which we explore in this study.

A tremendous amount of change in traditional business paradigms has occurred over the past decade through the development of Electronic Commerce and advancements in the field of Information Technology. As lesser-developed countries progress and become more prosperous, traditional 'first world' countries have migrated to become strong service oriented economies (Asch, 2001). Supporting technologies have developed over the past decade which has exploited the benefits of the Internet and other information technologies. While Electronic Commerce continues to grow there is a corresponding impact on computer software and individual privacy (Ghosh and Swaminatha, 2001). Recently, the U.S. National Institute of Standards and Technology (NIST) found that software bugs cost the U.S. economy approximately $59.5 billion, or 60% of the annual Gross Domestic Product (U.S. Department of Commerce, 2003). In addition, we have witnessed a rise in the strength and impact of Denial of Service and other types of computer attacks such as: viruses, trojans, exploit scripts and probes/scans. Popular industry surveys such as the annual Federal Bureau of Investigation/Computer Security Institute (Gordon, Et. Al., 2006) confirm the growing threats in the Information Assurance field. In addition to these concerns our increased reliance on the Internet enabled systems (Loudon and Loudon, 2000), E-Commerce systems and Information Technologies an integrated suite of risks which must be managed effectively across the public and private sectors (Backhouse, Et. Al, 2005, Ghosh and Swamintha, 2001, Parker, 2001, Graf, 1995, Greenberg and Goldman, 1995). Previous research (Rumizen, 1998, Haver, 1998, Roulier, 1998) examined Inter-Organisational, Web Information Systems and Government Information Systems in order to assess how companies and other organisations can effectively design these information systems such that maximum benefits can be achieved for all participating organisations. Furthermore, Davenport, Harris and Delong (2001) and Davenport (1999) explained that collaboration is central to the results of a knowledge management system in which open, nonpolitical, non-competitive entities are involved in environments to achieve optimal individual and collective results. Before this memorable event, some related programmatic initiatives were already in-process at that time. The United States government built upon its active leadership in the areas of computer security and information assurance when it launched a number of important efforts to manage information security threats. This was clearly evident when President Clinton made the U.S. National Infrastructure (NII) a major national priority in the 1990s. One critical development occurred in 1998 when the National Infrastructure Protection Centre was established to be the central point for gathering, analysing and disseminating critical cyber security information and built upon the previous success of the national Computer Emergency Response Team (CERT). Earlier research (Rich, 2001, Soo Hoo, 2000, Howard, 1997 and Landwher, 1994) addressed various aspects of information security information and incident reporting. Also, Vatis (2001) addressed some research considerations in this area while investigating foreign network centric and traditional warfare events primarily through Denial of Service and Web Site Defacement attacks. However, areas for new exploration existed especially as they related to U.S. critical infrastructure protection (Karestand, 2003, Vatis, 2001, U.S. General Accounting Office, 2000, Alexander and Swetham, 1999). Finally, Information and Network Centric Warfare (Arens and Rosenbloom, 2003, Davies, 2000, Denning and Baugh, 2000, and Schwartau, 1997) are increasing national security issues in the War on Terrorism and Homeland Security in general.

stochastic approach to decision-making in defined benefit pension schemes is presented. Existing decision-making tools in the form of actuarial valuations and asset and liability modelling are discussed. These tools are shown to be inadequate to fully address the objectives of the various stakeholders. Pension fund control using a quadratic criteria with linear factors is studied in the case where the fund is invested in a risk-free asset and a risky asset. Optimal asset allocation strategies are shown to be counter-intuitive. The optimal strategy is shown to involve increasing the allocation in the risky asset as the fund deficit increases and increasing the allocation in the risk-free asset as the fund deficit decreases. It is further shown that increasing the weight on the linear factors leads to an increase in the optimal allocation in the risky asset. A risk management approach to decision-making is presented. This is shown to be a more satisfactory decision-making tool in terms of setting the funding and investment strategies. The objectives of the stakeholders are addressed through downside risk measures and a performance measure for the cost. Methods of solving the problem are discussed: an indifference curve approach and a stochastic multi-objective approach leading to Pareto optimal solutions. It is shown that, in the indifference curve approach, an "efficient region" exists. This efficient region is such that all funding and investment strategies outside this region are inefficient; that is, such strategies can be improved by choosing strategies in the region. On the other hand in the multi-objective approach, pareto optimal investment strategies are located along an "efficient frontier". An extension to the stochastic approach is presented. Optimal funding and asset allocation strategies, over a range of projection horizons, are determined by taking into account the probability of default by the sponsoring employer. It is shown that, over a short-term horizon, bond-only asset allocation strategies are optimal, whilst over a longer horizon equity-backed asset allocation strategies are optimal.

The business management literature has largely neglected the theme of risk management for SMEs. So the aim of this research was to explore the current state of risk management in German SMEs and to reveal the problems which firms have with implementing a risk management system. Risk management is a relatively new discipline. Thus until now no general standard has been developed what to understand by a holistic risk management. Based on an extensive literature analysis, this study - besides risk management in the stricter sense - also sees the following components as essential for a holistic risk management: business planning and modern instruments of performance measurement. The present investigation places a special focus on these subsystems. Because of lacking empirical data a nationwide postal questionnaire has been chosen to obtain a broad picture of current risk management practices in German SMEs. A validation and further deepening of the results has been carried out by a larger number of research interviews. Derived from a comprehensive analysis of the questionnaire and the interview results, a scoring approacht o assessth e risk managements ophisticationo f SMEs has been developed. The approach does not, as usual, evaluate one single scoring figure. Insteadi t allows a differentiated assessmenbt y evaluating separates coring figures for each component of a holistic risk management system. The scoring approach presented is very transparent and thus can easily be adapted for similar research problems of risk management. Based on the scoring approach, this study introduces a new typology of risk management practices, derived from the empirical findings. It extracts three types of firms' risk management practices: reactors, defender/prospectors and analysers. The typology draws on the well-established approach of Miles and Snow who developed their types for classifying business organizations. The present study develops the Miles and Snow typology and makes it applicable for the purpose of risk management practices. Each of the three risk management types is described by its determinants with respect to the components of a holistic risk management. Then recommendations are formulated which actions a firm of the respective type should take to improve its risk managementt,h us contributing to the firm's further positive development