QUANTITATIVE RISK ANALYSIS AND ASSESSMENT

Transcription

1 ENCYCLOPEDIA OF QUANTITATIVE RISK ANALYSIS AND ASSESSMENT Volume 2 D-J Editors-in-Chief EDWARD L MELNICK New York University, New York, NY, USA BRIAN S. EVERITT Institute of Psychiatry, King's College, London, UK WILEY

2 VOLUME 1 Absolute Risk Reduction 1 Accelerated Life Testing 2 Actuary 8 Adverse Selection 14 Air Pollution Risk 15 Alternative Risk Transfer 21 Arsenic 28 As Low as Reasonably Practicable/ As Low as Reasonably Achievable 38 Asbestos 43 Assessment of Risk Association with Beryllium Exposure 52 Asset-Liability Management for Life Insurers 60 Asset-Liability Management for Nonlife Insurers 63 Association Analysis 67 Attributable Fraction and Probability of Causation 73 Availability and Maintainability 77 Axiomatic Measures of Risk and Risk-Value Models 84 Axiomatic Models of Perceived Risk 94 Basic Concepts of Insurance 105 Bayes' Theorem and Updating of Belief 107 Bayesian Analysis and Markov Chain Monte Carlo Simulation 111 Bayesian Statistics in Quantitative Risk Assessment 119 Behavioral Decision Studies 136 Benchmark Analysis 145 Benchmark Dose Estimation 149 Benzene 154 Bioequivalence 159 Blinding 163 Bonus-Malus Systems 165 Burn-in Testing: Its Quantification and Applications 170 1,3-Butadiene 176 Cancer Risk Evaluation from Animal Studies 181 Canonical Modeling 189 Case-Control Studies 192 Causal Diagrams 205 Causality/Causation 211 Censoring 221 Change Point Analysis 225 Chernobyl Nuclear Disaster 227 Clinical Dose-Response Assessment 233 Coding: Statistical Data Masking Techniques 240 Cohort Studies 243 Collective Risk Models 255 Combining Information 259 Common Cause Failure Modeling 264 Comonotonicity 274 Comparative Efficacy Trials (Phase III Studies) 279 Comparative Risk Assessment 283 Compensation for Loss of Life and Limb _ v ' 292 Competing Risks 301 Competing Risks in Reliability 307 Compliance with Treatment Allocation 312 Computer Security: A Historical Perspective 321 Condition Monitoring 341 Conflicts, Choices, and Solutions: Informing Risky Choices 346 Confounding 353 Considerations in Planning for Successful Risk Communication 362 Continuous-Time Asset Allocation 366

3 Copulas and Other Measures of Dependency Correlated Risk Cost-Effectiveness Analysis Counterterrorism Credibility Theory Credit Migration Matrices Credit Risk Models Credit Scoring via Altman Z-Score Credit Value at Risk Cross-Species Extrapolation Cumulative Risk Assessment for Environmental Hazards Cyber Risk Management VOLUME 2 Data Fusion Decision Analysis Decision Conferencing/Facilitated Workshops Decision Modeling Decision Trees Default Correlation- Default Risk Degradation and Shock Models Dependent Insurance Risks Design of Reliability Tests Detection Limits Digital Governance, Hotspot Detection, and Homeland Security Dioxin Risk Disease Mapping Distributions for Loss Modeling Dose-Response Analysis Dynamic Financial Analysis Early Warning Systems (EWSs) for Predicting Financial Crisis Ecological Risk Assessment Economic Criteria for Setting Environmental Standards Effect Modification and Interaction Efficacy Engineered Nanomaterials Enterprise Risk Management (ERM) Environmental Carcinogenesis Risk Environmental Exposure Monitoring Environmental Hazard Environmental Health Risk 574 Environmental Health Risk Assessment 580 Environmental Health Triage, Chemical Risk Assessment for 589 Environmental Monitoring 591 Environmental Performance Index 602 Environmental Remediation 606 Environmental Risk Assessment of Water Pollution 611 Environmental Risk Regulation 613 Environmental Risks 617 Environmental Security 622 Environmental Tobacco Smoke 627 Epidemiology as Legal Evidence 630 Equity-Linked Life Insurance 637 Estimation of Mortality Rates from Insurance Data 643 Ethical Issues in Using Statistics, Statistical Methods, and StatisticalI Sources in Work Related to Homeland Security Evaluation of Risk Communication Efforts- Experience Feedback Expert Elicitation for Risk Assessment Expert Judgment Extreme Event Risk Extreme Value Theory in Finance Extreme Values in Reliability Extremely Low Frequency Electric and Magnetic Fields Failure Modes and Effects Analysis Fair Value of Insurance Liabilities Fate and Transport Models Fault Detection and Diagnosis Federal Statistical Systems as Data Game Theoretic Methods Gene-Environment Interaction Geographic Disease Risk Global Warming Sources for Intelligence, Investigative, or Prosecutorial Work 718 Fraud in Insurance 723 From Basel II to Solvency II - Risk Management in the Insurance Sector

4 xi Group Decision 760 Hazard and Hazard Ratio Hazardous Waste Site(s) Hazards Insurance: A Brief History Health Hazards Posed by Dioxin Hexavalent Chromium History and Examples of Environmental Justice History of Epidemiologic Studies Homeland Security and Transportation Risk Hormesis Hotspot Geoinformatics Human Reliability Assessment Imprecise Reliability Individual Risk Models Inequalities in Risk Theory Inferiority and Superiority Trials Influence Diagrams Informational Value of Corporate Issuer Credit Ratings Insurability Conditions Insurance Applications of Life Tables Insurance Pricing/Nonlife Integration of Risk Types Intensity Modeling: The Cox Process Intent-to-Treat Principle Interpretations of Probability VOLUME 3 Kriging Large Insurance Losses Distributions Latin Hypercube Sampling Lead Levy Processes in Asset Pricing Life Insurance Markets Lifetime Models and Risk Assessment Linkage Analysis Logistic Regression, Longevity Risk and Life Annuities- 7 ^ Low-Dose Extrapolation Managing Foodborne Risk 1029 Managing Infrastructure Reliability, Safety, and Security 1033 Managing Risks of Consumer Products 1040 Markov Modeling in Reliability 1045 Mathematical Models of Credit Risk 1049 Mathematics of Risk and Reliability: A Select History 1054 Mercury/Methylmercury Risk 1062 Meta-Analysis in Clinical Risk Assessment 1064 Meta-Analysis in Nonclinical Risk Assessment 1075 Methylmercury, 1084 Microarray Analysis 1089 Mobile Phones and Health Risks 1092 Model Risk 1094 Modifiable Areal Unit Problem (MAUP) 1098 Molecular Markers and Models 1101 Monte Carlo Methods 1104 Moral Hazard 1107 Multiattribute Modeling 1109 Multiattribute Utility Functions 1114 Multiattribute Value Functions 1119 Multistate Models for Life Insurance Mathematics 1128 Multistate Systems k 1139 Multivariate Reliability Models and Methods 1144 Natural Resource Management 1149 Near-Miss Management: A Participative Approach to Improving System Reliability 1154 No Fault Found "' 1163 Non- and Semiparametric Models and Inference for Reliability Systems 1167 Nonlife Insurance Markets 1176 Nonlife Loss Reserving 1180 Nonparametric Calibration of Derivatives Models 1187 Nuclear Explosion Monitoring 1191 Numerical Schemes for Stochastic Differential Equation Models 1197 Maintenance Modeling and Management 1023 Occupational Cohort Studies Occupational Risks

5 xii Contents Odds and Odds Ratio 1219 Operational Risk Development 1220 Operational Risk Modeling 1224 Optimal Risk-Sharing and Deductibles in Insurance 1230 Optimal Stopping and Dynamic Programming 1236 Options and Guarantees in Life Insurance 1244 Ordering of Insurance Risk 1250 Parametric Probability Distributions in Reliability 1255 Persistent Organic Pollutants 1261 Pesticide Risk 1271 Pharmaceuticals in the Environment 1273 Players in a Decision 1277 Point Source Modeling 1278 Polychlorinated Biphenyls 1281 Potency Estimation 1285 Precautionary Principle 1290 Precautionary Principles: Definitions, Issues, and Implications for Risky Choices 1293 Premium Calculation and Insurance Pricing 1302 Pricing of Life Insurance Liabilities 1314 Privacy Protection in an Era of Data Mining and Record Keeping 1322 Probabilistic Design 1325 Probabilistic Risk Assessment 1349 Product Risk Management: Testing and Warranties 1356 Professional Organizations in Risk Management 1360 Protection of Infrastructure 1364 Public Health Surveillance 1371 Public Participation 1381 Quantitative Reliability Assessment of Electricity Supply 1393 VOLUME 4 R&D Planning and Risk Management Radioactive Chemicals/Radioactive Compounds Radon Radon Risk Randomized Controlled Trials 1415 Recurrent Event Data 1419 Reinsurance 1425 Relative Risk 1429 Reliability Data 1430 Reliability Demonstration 1438 Reliability Growth Testing 1443 Reliability Integrated Engineering Using Physics of Failure 1448 Reliability of Consumer Goods with "Fast Turn Around" 1462 Reliability of Large Systems 1466 Reliability Optimization 1471 Remote Sensing 1477 Repair, Inspection, and Replacement Models 1481 Repairable Systems Reliability 1493 Repeated Measures Analyses 1500 Risk and the Media 1508 Risk Attitude 1512 Risk Characterization 1524 Risk Classification in Nonlife Insurance, 1530 Risk Classification/Life 1535 Risk from Ionizing Radiation 1540 Risk in Credit Granting and Lending Decisions: Credit Scoring 1546 Risk Management of Construction Defects 1553 Risk Measures and Economic Capital for (Re)insurers 1556 Risk-Benefit Analysis for Environmental Applications 1566 Risk-Neutral Pricing: Importance and Relevance 1569 Role of Alternative Assets in Portfolio Construction 1574* Role of Risk Communication in a Comprehensive Risk Management Approach 1584 Ruin Probabilities: Computational Aspects 1587 Ruin Theory 1591 Safety Sampling and Inspection for Monitoring Threats to Homeland Security Scenario Simulation Method for Risk Management

6 xiii Scenario-Based Risk Management and Simulation Optimization 1611 Scientific Uncertainty in Social Debates Around Risk 1618 Securitization/Life 1623 Simulation in Risk Management 1627 Social Networks 1634 Societal Decision Making 1640 Software Testing and Reliability 1642 Soil Contamination Risk 1653 Solvency 1657 Spatial Risk Assessment 1663 Spatiotemporal Risk Analysis 1665 Stakeholder Participation in Risk Management Decision Making 1668 Statistical Arbitrage 1672 Statistics for Environmental Justice 1678 Statistics for Environmental Mutagenesis 1682 Statistics for Environmental Teratogenesis 1687 Statistics for Environmental Toxicity 1692 Stochastic Control for Insurance Companies 1697 Stratospheric Ozone Depletion 1702 Stress Screening 1704 Structural Models of Corporate Credit Risk 1707 Structural Reliability 1712 Structured Products and Hybrid Securities 1715 Subjective Expected Utility 1719 Subjective Probability 1724 Supra Decision Maker 1734 Survival Analysis 1736 Syndromic Surveillance 1743 Systems Reliability 1753 Threshold Models 1769 Toxic Torts: Implications for Risk Management 1771 Toxicity (Adverse Events) 1777 Truncation 1779 Ultrahigh Reliability 1783 Uncertainty Analysis and Dependence Modeling 1789 Uncertainty and Variability Characterization and Measures in Risk Assessment 1797 Understanding Large-Scale Structure in Massive Data Sets 1804 Use of Decision Support Techniques for Information System Risk Management 1811 Utility Function 1818 Value at Risk (VaR) and Risk Measures 1823 Value Function 1830 Volatility Modeling 1832 Volatility Smile 1839 Vulnerability Analysis for Environmental Hazards 1845 Warranty Analysis 1849 Water Pollution Risk >! 1857 Wear 1862 Weather Derivatives 1868 What are Hazardous Materials? 1873 Zero Failure Data 1879