Informs 2015

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INFORMS Philadelphia – 2015
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2 - The Price of Uncertainty in Financial Networks
Peng-chu Chen, Purdue University, 315 N. Grant Street, West
Lafayette, IN, United States of America,
Agostino Capponi
We derive lower and upper bounds for systemic losses incurred in networks,
under partial information on interbank assets and liabilities. Our findings indicate
that the uncertainty gap is highly sensitive to the realization of default events in
the network.
3 - Why are Fee-to-Collateral Ratios so Extreme?
Allen Cheng, Graduate Student, Columbia University, 182
Claremont Avenue Apt. 42, New York, NY, 10027, United States
of America, , Agostino Capponi
We develop a game-theoretic model of centralized clearing to analyze a
clearinghouse’s choice of transaction fee and collateral requirements. The
clearinghouse’s requirements affect not only the size and riskiness of her
participating client base, but also the transaction fees charged to clients by her
clearing member. We show that empirically observed extreme fee-to-collateral
ratios can be explained as the equilibrium arising from strategic interactions
between profit maximizing agents.
4 - Multivariate Systemic and Market Risk Measures
Cagin Ararat, Assistant Professor, Bilkent University, Department
of Industrial Engineering, Bilkent University, Ankara, 08540,
Turkey, , Birgit Rudloff
A common framework to study systemic risk measures and risk measures for
multi-asset frictional markets is proposed. The structure of the network/market is
modeled via a set-valued function whose special cases include the aggregation
mechanisms for financial networks and the solvency cones for transaction cost
markets. A general dual representation result is presented with economic
interpretations for the special cases.
SB08
08-Room 308, Marriott
Cooperation and Integration Approaches to Modern
Telecommunication Networks Problematics
Sponsor: Telecommunications
Sponsored Session
Chair: Albena Mihovska, Center for TeleInfrastruktur-Aalborg
University, Fredrik Bajers Vej 7C1-113, Aalborg ÿ, Da, 9220, Denmark,
1 - A Game Theoretic Approach to Modeling Telecommunications
Security During Disasters
Michael Bartolacci, Professor, Information Sciences and
Technology, Penn State University - Berks, Reading, PA, 19610,
United States of America,
During times of crisis, the opportunities for hackers, terrorists,and other
disruptive parties to disrupt important communications grows due to the
sometimes chaotic conditions. A game theoretic approach is used to model
disruptions to emergency management communications. Insight can be gained
into how to minimize the probability and the impact of such disruptions.
2 - Behavior Model for Cooperative Communications Based on
Stackelberg Game
Albena Mihovska, Center for TeleInfrastruktur-Aalborg
University, Fredrik Bajers Vej 7C1-113, Aalborg ÿ, Da, 9220,
Denmark,
In cooperative communications the sender needs to ask a relay to forward its
packets toward the destination. The relay responds to the sender about whether
or not to relay the packet. This sequential procedure can be modeled by the
Stackelberg competition, and the optimal strategy is solved by backward-
induction.
3 - Cooperative versus Non-Cooperative Placement of Relay Stations
in Wireless Sensor Networks
Chelsea Fogarty, Mba Student, Southwest Minnesota State
University, 1501 State street, Marshall, MN, 56258, United States
of America, Vinay Gonela,
Joseph Szmerekovsky
This paper focuses on designing a wireless sensor network under cooperative and
non-cooperative planning schemes such that the total relay station cost is
minimized. An MILP model is proposed that aims to determine the: 1) optimal
location of relay stations, and 2) optimal assignment of sensors to relay stations.A
case study set based on the Midwest region of the United States is conducted. The
results indicate a significant trade-off between the number of relay stations and
computational time.
4 - The Power of Integrated Wireless and Mobile Communication
Technologies and their Impact on the Corporate World
Izabella Lokshina, Center for TeleInfrastruktur-Aalborg
University, Fredrik Bajers Vej 7C1-113, Aalborg Ø Da 9220,
Denmark
The impact of integrated wireless and mobile communication technologies on the
corporate world is very substantial. There is no restriction in terms of the
application domains as illustrated by the models and primary scenarios provided
in healthcare, education, business organizations and emergency services. Today,
the challenge is to build the next generation of applications that will enable more
of the models and primary scenarios across many other domains, such as
transportation, energy, and manufacturing. It becomes clear through the models
and primary scenarios that the power of integrated wireless and mobile
technologies is certainly in several orders of magnitude greater than the simple
sum of their separate individual impacts. This observation, combined with the
continuous growth of wireless access and mobility, leads clearly to the belief that
integrated wireless and mobile communication technologies are key success
factors, even if there are challenges presented by such issues as the SLA (Service
Level Agreement), security, privacy, mixed mode usage and deployment, and
finding the appropriate business models for profitable growth.
SB09
09-Room 309, Marriott
Panel Discussion: Research Opportunities in
Entrepreneurship, Innovation and Operations
Management
Sponsor: Technology, Innovation Management & Entrepreneurship
Sponsored Session
Chair: Sinan Erzurumlu, Assoc. Prof., Babson College, 231 Forest St,
Babson Park, MA, 02456, United States of America,
1 - Panel Discussion: Research Opportunities in Entrepreneurship,
Innovation and Operations Management
Moderator: Sinan Erzurumlu, Assoc. Prof., Babson College, 231
Forest St, Babson Park, MA, 02456, United States of America,
This session brings together top scholars who do research in the interface of
entrepreneurship, innovation and operations management. Each speaker will
present his/her perspective on emerging research themes that may be of interest
to researchers in the fields of innovation, technology management, new product
development, organization science, and operations management. A follow-up
Q&A and discussion with audience participation will follow to uncover research
and teaching topics on the field.
SB10
10-Room 310, Marriott
Healthcare and Population Heath in the Digital
Economy
Sponsor: E-Business
Sponsored Session
Chair: Brad Greenwood, Assistant Professor, Temple University, 1810
North 13th Street, Philadelphia, PA, 19122, United States of America,
1 - When is an Ounce of Prevention Worth a Pound of Cure?
Finding High-risk Patients for Case Management
David Anderson, Assistant Professor, Baruch,
Margret Bjarnadottir
One of the key questions in case management is which patients to enroll, and
most programs target current high-cost patients. However the real potential is
including lower cost patients at high risk of future high healthcare costs.
Identifying these patient is a hard classification task. In this study we infuse
classical classification models with association rules to identify and include higher
order interactions.
SB08