Operations Research, Systems Engineering and Industrial Engineering Commons^™

Computation Of Risk Measures In Finance And Parallel Real-Time Scheduling, Yajuan Li

Dissertations

Many application areas employ various risk measures, such as a quantile, to assess risks. For example, in finance, risk managers employ a quantile to help determine appropriate levels of capital needed to be able to absorb (with high probability) large unexpected losses in credit portfolios comprising loans, bonds, and other financial instruments subject to default. This dissertation discusses the computation of risk measures in finance and parallel real-time scheduling.

Firstly, two estimation approaches are compared for one risk measure, a quantile, via randomized quasi-Monte Carlo (RQMC) in an asymptotic setting where the number of randomizations for RQMC grows large, but …

Evaluation Of Data Collection Operations For Real-Time Influenza Surveillance During An Emergency, Yuwen Gu

Dissertations

It is unclear how data collection operations for surveillance alter the disease portrayal that influenza reported trends attempt to provide during an emergency. This study developed a model that simulates the collection and testing of influenza specimens after an outbreak is declared in Michigan. It performed simulation based optimization to understand which operational factors affect the biases between the growth rates of original and observed influenza incidence trends, and to quantify the predictive power of the influenza incidence trends at different points of data collection. The results show that emergency driven high risk perception increases the reporting, which leads to …