Fundação Carlos Chagas Filho de Amparo a Pesquisa do Estado do Rio de Janeiro / O presente trabalho apresenta a implementação de um modelo utilizado como ferramenta para aumentar a eficiência do sistema de gerenciamento regional integrado de resíduos sólidos. Este modelo desenvolvido com base no trabalho publicado por M. El-Fadel et al (2002) leva em consideração tanto as questões econômicas como as questões sócio-ambientais, e utiliza como fontes de entrada as seguintes variáveis: número total de fontes de geração de resíduos, número de estações de processamento de resíduos, número de instalações de tratamento térmico e de tratamento biológico dos resíduos sólidos, número de aterros sanitário e tempo. O problema foi abordado envolvendo a formulação de um modelo matemático linear, no qual uma função objetivo, que expressa a diferença entre todos os custos quantificáveis e os benefícios advindos da implementação do sistema de gestão e gerenciamento integrado de resíduos sólidos, deve ser minimizada através de métodos de otimização. Neste trabalho, o método de otimização utilizado foi o algoritmo de busca aleatória Luus-Jaakola. / This work presents a management model to improve the regional integrated solid waste management. Our model is developed based on a previous work, considering economic, social and environmental issues, and using as inputs the waste generation nodes, the number of thermal and biological treatment facilities, the number of landfills, and time. The problem formulation involves a linear problem formulation, where an objective function expressing the difference between costs and benefits must be minimized. In order to optimize this problem, we employed the random-search Luus-Jaakola algorithm.

Fundação Carlos Chagas Filho de Amparo a Pesquisa do Estado do Rio de Janeiro / O presente trabalho apresenta a implementação de um modelo utilizado como ferramenta para aumentar a eficiência do sistema de gerenciamento regional integrado de resíduos sólidos. Este modelo desenvolvido com base no trabalho publicado por M. El-Fadel et al (2002) leva em consideração tanto as questões econômicas como as questões sócio-ambientais, e utiliza como fontes de entrada as seguintes variáveis: número total de fontes de geração de resíduos, número de estações de processamento de resíduos, número de instalações de tratamento térmico e de tratamento biológico dos resíduos sólidos, número de aterros sanitário e tempo. O problema foi abordado envolvendo a formulação de um modelo matemático linear, no qual uma função objetivo, que expressa a diferença entre todos os custos quantificáveis e os benefícios advindos da implementação do sistema de gestão e gerenciamento integrado de resíduos sólidos, deve ser minimizada através de métodos de otimização. Neste trabalho, o método de otimização utilizado foi o algoritmo de busca aleatória Luus-Jaakola. / This work presents a management model to improve the regional integrated solid waste management. Our model is developed based on a previous work, considering economic, social and environmental issues, and using as inputs the waste generation nodes, the number of thermal and biological treatment facilities, the number of landfills, and time. The problem formulation involves a linear problem formulation, where an objective function expressing the difference between costs and benefits must be minimized. In order to optimize this problem, we employed the random-search Luus-Jaakola algorithm.

Cette thèse traite de portefeuilles d’assurance avec risques dépendants en théorie du risque.<p>Le premier chapitre traite les modèles avec risques équicorrelés. Nous proposons une structure mathématique qui amène à une fonction génératrice de probabilités particulière (fgp) proposé par Tallis. Cette fgp implique des variables équicorrelées. Puis, nous étudions l’effet de ce type de dépendance sur des quantités d’intérêt dans la littérature actuarielle telle que la fonction de répartition de la somme des montants des sinistres, les primes stop-loss et les probabilités de ruine sur horizon fini. Nous utilisons la structure proposée pour corriger des erreurs dans la littérature dues au fait que plusieurs auteurs agissaient comme si la somme des variables aléatoires équicorrélés aient nécessairement la fgp proposée par Tallis. <p><p>Dans le second chapitre, nous proposons un modèle qui combine les modèles avec chocs et les modèles avec mélanges communs en introduisant une variable qui contrôle le niveau du choc. Dans le cadre de ce nouveau modèle, nous considérons deux applications où nous généralisons le modèle de Bernoulli avec choc et le modèle de Poisson avec choc. Nous étudions, dans les deux applications, l’effet de la dépendance sur la fonction de répartition des montants des sinistres, les primes stop-loss et les probabilités de ruine sur horizon fini et infini. Pour la deuxième application, nous proposons une construction basée sur les copules qui permet de contrôler le niveau de dépendance avec le niveau du choc.<p><p>Dans le troisième chapitre, nous proposons, une généralisation du modèle classique de Poisson où les montants des sinistres et les intersinistres sont supposés dépendants. Nous calculons la transformée de Laplace des probabilités de survie. Dans le cas particulier où les montants des sinistres ont une distribution exponentielle nous obtenons des formules explicites pour les probabilités de survie. <p><p>Dans le quatrième chapitre nous généralisons le modèle classique de Poisson en introduisant de la dépendance entre les intersinistres. Nous utilisons le lien entre les files fluides et le processus du risque pour modéliser la dépendance. Nous calculons les probabilités de survie en utilisant un algorithme numérique et nous traitons le cas où les montants de<p>sinistres et les intersinistres ont des distributions de type phase.<p> / Doctorat en Sciences / info:eu-repo/semantics/nonPublished

Thesis: M.S., Massachusetts Institute of Technology, Department of Civil Engineering, 1978 / Bibliography: leaves 149-150. / M.S. / M.S. Massachusetts Institute of Technology, Department of Civil Engineering

Thesis (MComm)--Stellenbosch University, 2013. / ENGLISH ABSTRACT: Accurate estimation of Value at Risk (VaR) and Expected Shortfall (ES) is critical in the management of extreme market risks. These risks occur with small probability, but the financial impacts could be large. Traditional models to estimate VaR and ES are investigated. Following usual practice, 99% 10 day VaR and ES measures are calculated. A comprehensive theoretical background is first provided and then the models are applied to the Africa Financials Index from 29/01/1996 to 30/04/2013. The models considered include independent, identically distributed (i.i.d.) models and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) stochastic volatility models. Extreme Value Theory (EVT) models that focus especially on extreme market returns are also investigated. For this, the Peaks Over Threshold (POT) approach to EVT is followed. For the calculation of VaR, various scaling methods from one day to ten days are considered and their performance evaluated. The GARCH models fail to converge during periods of extreme returns. During these periods, EVT forecast results may be used. As a novel approach, this study considers the augmentation of the GARCH models with EVT forecasts. The two-step procedure of pre-filtering with a GARCH model and then applying EVT, as suggested by McNeil (1999), is also investigated. This study identifies some of the practical issues in model fitting. It is shown that no single forecasting model is universally optimal and the choice will depend on the nature of the data. For this data series, the best approach was to augment the GARCH stochastic volatility models with EVT forecasts during periods where the first do not converge. Model performance is judged by the actual number of VaR and ES violations compared to the expected number. The expected number is taken as the number of return observations over the entire sample period, multiplied by 0.01 for 99% VaR and ES calculations. / AFRIKAANSE OPSOMMING: Akkurate beraming van Waarde op Risiko (Value at Risk) en Verwagte Tekort (Expected Shortfall) is krities vir die bestuur van ekstreme mark risiko’s. Hierdie risiko’s kom met klein waarskynlikheid voor, maar die finansiële impakte is potensieel groot. Tradisionele modelle om Waarde op Risiko en Verwagte Tekort te beraam, word ondersoek. In ooreenstemming met die algemene praktyk, word 99% 10 dag maatstawwe bereken. ‘n Omvattende teoretiese agtergrond word eers gegee en daarna word die modelle toegepas op die Africa Financials Index vanaf 29/01/1996 tot 30/04/2013. Die modelle wat oorweeg word sluit onafhanklike, identies verdeelde modelle en Veralgemeende Auto-regressiewe Voorwaardelike Heteroskedastiese (GARCH) stogastiese volatiliteitsmodelle in. Ekstreemwaarde Teorie modelle, wat spesifiek op ekstreme mark opbrengste fokus, word ook ondersoek. In hierdie verband word die Peaks Over Threshold (POT) benadering tot Ekstreemwaarde Teorie gevolg. Vir die berekening van Waarde op Risiko word verskillende skaleringsmetodes van een dag na tien dae oorweeg en die prestasie van elk word ge-evalueer. Die GARCH modelle konvergeer nie gedurende tydperke van ekstreme opbrengste nie. Gedurende hierdie tydperke, kan Ekstreemwaarde Teorie modelle gebruik word. As ‘n nuwe benadering oorweeg hierdie studie die aanvulling van die GARCH modelle met Ekstreemwaarde Teorie vooruitskattings. Die sogenaamde twee-stap prosedure wat voor-af filtrering met ‘n GARCH model behels, gevolg deur die toepassing van Ekstreemwaarde Teorie (soos voorgestel deur McNeil, 1999), word ook ondersoek. Hierdie studie identifiseer sommige van die praktiese probleme in model passing. Daar word gewys dat geen enkele vooruistkattingsmodel universeel optimaal is nie en die keuse van die model hang af van die aard van die data. Die beste benadering vir die data reeks wat in hierdie studie gebruik word, was om die GARCH stogastiese volatiliteitsmodelle met Ekstreemwaarde Teorie vooruitskattings aan te vul waar die voorafgenoemde nie konvergeer nie. Die prestasie van die modelle word beoordeel deur die werklike aantal Waarde op Risiko en Verwagte Tekort oortredings met die verwagte aantal te vergelyk. Die verwagte aantal word geneem as die aantal obrengste waargeneem oor die hele steekproefperiode, vermenigvuldig met 0.01 vir die 99% Waarde op Risiko en Verwagte Tekort berekeninge.

Dissertation (PhD)--University of Stellenbosch, 2001. / ENGLISH ABSTRACT: The efficient management of renewable resources may ensure sustainable income to communities and countries. In the past the mathematical modelling used in the management decisions, in South Africa, was based on biological considerations only. In this thesis we include economic factors in the models and aim to determine steady state harvesting levels such that a maximum present value of all future revenues may be reached. A bio-economical approach is followed throughout the study and applied to the South African Cape Rock Lobster (Jasus lalandii) resource. We first address the problem using the simplest surplus production models. The model is applied to the Cape Rock Lobster, finding that the economical factors do indeed influence the steady state results, emphasising that they should be incorporated in the modelling process. A more descriptive two-sex-delay-difference model is then applied, which includes delay times for juveniles to reach sexual maturity and distinguishes between sexes. Yet further involved stage-class models are also studied and we propose a solution to the non-linear programming problem reached. These models may assist decision makers in future as knowledge on, for example, the growth of the two sexes, proper size limits and the influence of price differences are gained. Finally, we propose a harvesting strategy where catch is taken from alternative spatial lanes and apply here results from reaction diffusion theory. This theoretical approach might provide guidelines to new and underdeveloped fisheries in future, but also influence current inshore fisheries towards new management strategies. / AFRIKAANSE OPSOMMING: Die doeltreffende bestuur van hernubare hulpbronne kan 'n volhoubare ekonomiese opbrengs aan gemeenskappe en lande verseker. In die verlede is die wiskundige modelle wat in die besluitnemingsproses gebruik is, in Suid Afrika, gebaseer op biologiese oorwegings alleen. In hierdie studie word ook ekonomiese faktore in die modelle ingesluit en word ewewigstoestande bepaal vir vangste, sodanig dat 'n maksimum huidige waarde van toekomstige inkomste uit 'n vissery bereik word. 'n Bio-ekonomiese benadering word deurgaans gevolg en modelle word toegepas op die Suid-Afrikaanse Weskus Kreefbron (Jasus lalandii). Die studie begin deur basiese surplus produksie modelle te gebruik. Die resultate van die toepassing op die Weskus Kreefbron toon dat die ekonomiese faktore 'n groot invloed op die voorgestelde ewewigstoestand van die populasie het. Dit benadruk dus die feit dat hierdie faktore in die modelleringsproses ingesluit behoort te word. Meer beskrywende twee-geslag-vertragings-verskil modelle word daarna toegepas, en sluit in 'n vertragings periode vir vis om 'n volwasse stadium te bereik. Hierdie tydfaktor verskil dikwels vir mannetjies en wyfies en daarom word hier 'n twee-geslag model gebruik. Meer gevorderde klasse modelle word ook bespreek. Ons stel 'n oplossing vir hierdie nie-lineêre programmeringsprobleem voor. Hierdie gevorderde modelle mag in die toekoms handige hulpmiddels wees wanneer inligting rakende 'n spesie gesoek word. Sulke inligting mag insluit die groeitempos van mannetjies en wyfies, geskikte grootte beperkings vir vangste en die invloed van prysverskille vir verskillende groottes vis. 'n Nuwe vangste strategie word ook voorgestel waar vangste slegs geneem word uit alternatiewe ruimtelike bane en pas ons hier resultate uit die reaksie-diffusie teorie toe. Hierdie teoretiese oplossings mag riglyne bied wanneer nuwe visserye in die toekoms ontgin word, maar ook huidige visserye beïnvloed in die rigting van 'n nuwe bestuur strategie.

Thesis (PhD)--Macquarie University, Macquarie Graduate School of Management, 2006. / Bibliography: p. 253-276. / Introduction -- Knowledge and knowledge management systems -- Towards a measurement model of KMS success -- Research methodology -- Data analyses and results -- Conclusions and implications. / Knowledge management is becoming pervasive in organizations. Information technology (IT) has been widely used in organizational knowledge management initiatives, and organizations continue to invest in IT expecting that its use will improve knowledge workers' productivity and organizational performance. -- Knowledge management systems (KMS) are information technology applications designed for knowledge management. The pervasive use of KMS in organizations has raised crucial concerns about the use and value of KMS, which can be expressed as two key questions: - What are the key determinants to the users' acceptance and use of KMS in their daily work? - What is the actual role of KMS in the support of knowledge management? -- For this thesis, empirical research was conducted on KMS success in organizations from a social capital perspective, aiming to tackle these critical questions. Based on a review of existing studies on knowledge management and information systems success, two KMS research models are developed, namely a Socio-Technical System Framework of KMS and an Adaptive Structuration Theory (AST)-based KMS Success Model. The socio-technical framework model of KMS sets out the main KMS components and the interrelationships between these components, presenting a systematic view of KMS in organizations. The AST-based KMS success model represents dynamic and evolutionary KMS in organizations, proposing a system-to-value chain of KMS success linking KMS use to social capital, and to intellectual capital. In the research, the two models have been operationalized; consequently, a set of theoretical hypotheses has been derived. -- A set of survey instruments has been developed or adapted for the study. A preliminary study is used to test, adapt, and modify the new instruments. A web-based cross-sectional survey is conducted, and a sample of 362 knowledge workers from a variety of organizations enables the researcher to further validate the new instruments, assess the research models, and test the hypothesized relationships through structural equation modeling techniques (PLS and LISREL). The results provide clear evidence of the newly developed instruments' reliability, validity, and general applicability, and demonstrate that the research models have good explanatory power for the variances in the KMS use and social capital constructs. Significantly, the study has confirmed that KMS does have the expected significant positive effects on individual social capital development, a critical social infrastructure for knowledge management. The significant positive impacts of KMS use on three dimensions of social capital-structural, relational, and cognitive dimension-have been assessed, and significant findings have been achieved. Moreover, a set of potential critical determinants to users' acceptance and use of KMS has also been assessed in the study. The results have demonstrated the different levels of impacts of these factors on the users' acceptance and use of KMS. -- Based on the research results, recommendations are made for managers, and implications have been drawn for future research. -- Keywords: Knowledge Management Systems (KMS), KMS success measurement, performance-related use of KMS, structural equation modeling, social capital. / Mode of access: World Wide Web. / ix, 277, A23 p. ill

This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investor’s risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

This thesis is composed of three chapters. The first two chapters provides novel approaches for<p>modeling and estimating the dependence structure for a large portfolio of assets using rating data.<p>In both chapters a natural form of organizing a portfolio in terms of the levels of exposure to economic sectors and geographical regions, plays a key role in setting up the dependence structure.<p>The last chapter investigates weather financial strategies that exploit sector or geographical heterogeneity in the asset space are relevant in terms of portfolio optimization. This is also done in a context of a large portfolio but with data on stock returns. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Ce travail se compose de trois parties consacrées à différents aspects des modèles ARCH (AutoRegressive Conditionally Heteroskedastic) quantiles. Dans ces modèles, l’hétéroscédasticité conditionnelle est à prendre dans un sens très large, et affecte de fa¸ con potentiellement différenciée tous les quantiles conditionnels (et donc la loi conditionnelle elle-même), et non seulement, comme dans les modèles ARCH classiques, l’échelle conditionnelle.<p><p>La première partie étudie les problèmes de Value-at-Risk (VaR) dans les séries financières ainsi modélisées. Les approches traditionnelles présentent une caractéristique discutable, que nous relevons, et à laquelle nous apportons une correction fondée sur les lois résiduelles. Nous pensons que les fondements de cette nouvelle approche sont plus solides, et permettent de prendre en compte le fait que le comportement des processus empiriques résiduels (REP) des processus ARCH, contrairement à celui des REP des processus ARMA, continue à dépendre de certains des paramètres du modèle.<p><p>La seconde partie approfondit l’étude générale des processus empiriques résiduels (REP) des processus ARCH dans l’optique de la régression quantile (QR) au sens de Koenker et Bassett (Econometrica 1978). La représentation de Bahadur des estimateurs QR, et dont découle la propriété de tension asymptotique des REP, est établie.<p><p>Finalement, dans la troisième partie, nous mettons en évidence la nature semi-paramétrique des modèles ARCH quantiles, et l’invariance, sous l’action de certains groupes de transforma-tions, des sous-modèles obtenus en fixant la valeur des paramètres. Cette structure de groupe permet la construction de méthodes d’inférence invariantes qui, dans l’esprit des résultats de Hallin and Werker (Bernoulli 2003) préservent l’optimalité au sens semi-paramétrique. Ces méthodes sont fondées sur les rangs et les signes résiduels. Nous développons en particulier les R-estimateurs des modèles considérés et étudions leurs performances. / Doctorat en Sciences / info:eu-repo/semantics/nonPublished