The paper studies risk aversion and prudence of an agent in the face of a risk situation with two parameters, one described by a fuzzy number, the other described by a fuzzy variable. The first contribution of the paper is the characterization of risk aversion and prudence in mixed models by conditions on the concavity and the convexity of the agent's utility function and its partial derivatives. The second contribution is the building of mixed models of optimal saving and their connection with the concept of prudence and downside risk aversion.
There is no need to emphasize strongly the economical aspect of energy consumption forecasting in the current conditions of price formation for natural gas distribution companies. Knowledge of the future maximal values of a natural gas load over a day, a week or a month prediction horizon is very important for dispatchers in power distribution companies, who use this information for operating and planning. In our contribution we discuss a possibility to connect the natural gas consumption prediction module with a risk management module. The distribution function of the prediction errors (coming from the prediction module) is estimated and probability P (load > threshold) is derived. The optimal selection of possible regulations of individual consumers is performed by maximizing the economical profit or minimizing the company loss. The number of a possible combination is very large and therefore we use genetic algorithms (GA) as a powerful tool. The results from the two examples are shown: the optimal regulation design strategy (minimal loss) and the optimal gas selling strategy design (maximal profit).
In applications of stochastic programming, optimization of the expected outcome need not be an acceptable goal. This has been the reason for recent proposals aiming at construction and optimization of more complicated nonlinear risk objectives. We will survey various approaches to risk quantification and optimization mainly in the framework of static and two-stage stochastic programs and comment on their properties. It turns out that polyhedral risk functionals introduced in Eichorn and Römisch \cite{Eich-Ro} have many convenient features. We shall complement the existing results by an application of contamination technique to stress testing or robustness analysis of stochastic programs with polyhedral risk objectives with respect to the underlying probability distribution. The ideas will be illuminated by numerical results for a bond portfolio management problem.
This paper presents a study the risk probability optimality for finite horizon continuous-time Markov decision process with loss rate and unbounded transition rates. Under drift condition, which is slightly weaker than the regular condition, as detailed in existing literature on the risk probability optimality Semi-Markov decision processes, we prove that the value function is the unique solution of the corresponding optimality equation, and demonstrate the existence of a risk probability optimization policy using an iteration technique. Furthermore, we provide verification of the imposed condition with two examples of controlled birth-and-death system and risk control, and further demonstrate that a value iteration algorithm can be used to calculate the value function and develop an optimal policy.
In this note attention is focused on finding policies optimizing risk-sensitive optimality criteria in Markov decision chains. To this end we assume that the total reward generated by the Markov process is evaluated by an exponential utility function with a given risk-sensitive coefficient. The ratio of the first two moments depends on the value of the risk-sensitive coefficient; if the risk-sensitive coefficient is equal to zero we speak on risk-neutral models. Observe that the first moment of the generated reward corresponds to the expectation of the total reward and the second central moment of the reward variance. For communicating Markov processes and for some specific classes of unichain processes long run risk-sensitive average reward is independent of the starting state. In this note we present necessary and sufficient condition for existence of optimal policies independent of the starting state in unichain models and characterize the class of average risk-sensitive optimal policies.
This work is concerned with discrete-time Markov stopping games with two players. At each decision time player II can stop the game paying a terminal reward to player I, or can let the system to continue its evolution. In this latter case player I applies an action affecting the transitions and entitling him to receive a running reward from player II. It is supposed that player I has a no-null and constant risk-sensitivity coefficient, and that player II tries to minimize the utility of player I. The performance of a pair of decision strategies is measured by the risk-sensitive (expected) total reward of player I and, besides mild continuity-compactness conditions, the main structural assumption on the model is the existence of an absorbing state which is accessible from any starting point. In this context, it is shown that the value function of the game is characterized by an equilibrium equation, and the existence of a Nash equilibrium is established.
Parasites commonly manipulate host behaviour to increase transmission success between hosts. While most behavioural changes comprise slight alterations to host activity patterns and habitat use, some represent impressive alterations to routine behaviour which, while having direct positive effects on parasite transmission, compromise host survival. Here, we report conspicuous risky behaviour in an African annual killifish, Nothobranchius furzeri, infected by metacercariae of a strigeid trematode, Apatemon sp., residing in their cranial cavity. We demonstrate a striking contrast in the spatial and temporal behavioural responses of fish from populations naturally infected with Apatemon sp. and fish from two control populations with either a similar baseline parasite fauna but lacking Apatemon, or an overall low-level of infection. During routine activity, fish from Apatemon-infected populations positioned themselves just below the water surface, while other fish spent most of their time near the bottom. During a simulated avian attack, killifish from Apatemon-infected populations jumped above the water surface, moved in an uncoordinated manner, and rotated in the upper water layer, while fish from the control populations rapidly escaped into deeper water and ceased moving. The same self-exposing behaviour (jumping out of the water and lying on floating lily pads for extended periods) was also observed under natural conditions. Such behaviour greatly facilitates location of Apatemon-infected host fish by avian definitive hosts, especially in turbid pools. Moreover, the nothobranchiid killifish host's own life history, i.e. an extremely short lifespan limited to several months, may represent an important driver in the evolution of behavioural manipulation.
This experiment tested the effect of risperidone on the sympathetic and thermogenic effects induced by orexin A. The firing rates of sympathetic nerves to interscapular brown adipose tissue (IBAT), along with IBAT and colon temperatures and heart rate were monitored in urethane-anesthetized male Sprague-Dawley rats before an injection of orexin A (1.5 nmol) into the lateral cerebral ventricle and over a period of 2 hours after the injection. The same variables were monitored in rats with an intraperitoneal administration of risperidone (50 mg/kg bw), injected 30 min before the orexin administration. The results show that orexin A increases the sympathetic firing rate, IBAT, colonic temperatures and heart rate. This increase is enhanced by the injection of risperidone. These findings suggest that risperidone elevates the responses due to orexin,
probably through an involvement of serotoninergic and dopaminergic pathways, which are affected by risperidone. Furthermore, we suggested the name "hyperthermine A" as additional denomination of "orexin A" by considering the strong influence of this neuropeptide on body temperature.