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Research On Model And Application Of Decision Making Risk Management

Posted on:2008-07-09Degree:DoctorType:Dissertation
Country:ChinaCandidate:L A FengFull Text:PDF
GTID:1119360245490941Subject:Technical Economics and Management
Abstract/Summary:PDF Full Text Request
This paper, firstly, in light of the analysis on the flaws and shortcomings of the traditional decision-making theory, puts forword that risk always follows decision-making and is the nature of the decision-making, by a different way of thinking. Based on the above, the paper analyzes the structure of decision-making and brings forth decision-making module concept. Then, it carries on the exploration in regard to the nature of decision-making risk angling risk theory, the composition and formation mechanisms of decision-making, which produces the new study way to inspect decision-making risk from decision-making unit risk. Finally, the paper builds the framework of decision-making risk management with loss as main measure of the risk of decision-making and constructs risk measurement model Delta-EVT, as an example of applied research on capital management decision-making. It attempts to find a way, bridging decision theory to risk theory, to short difficult to measure risk of decision-making.The main innovation in this paper:First, the paper opens up a new way of thinking to study risk of decision-making. It, on the relationship between decision-making and values, as shown in Figure 1-5, different from the past from technology and performance measurement of decision-making to decision-making value, improves decision-making value through measurement and control of the risk of decision-making, reduction of risk.Second, there is a trial expansion of decision-making theory. With the integration between decision theory and the theory of risk, we look risk as an integral element of the decision-making to investigate, in view of analysis of the structure of decision-making, and put the concept of decision-making unit (DMU). We still analyze the nature characteristic of decision-making----hierarchy compound, recharacterize the nature of risk on the basis of the previously theory, make loss as the most essential characteristic of risk to become the main indicator of risk measurement. This, we establish basic framework for management risk of decision-making.Third, based on a series of objective the definitions and the assumptions associated with decision-making performance, we establish the framework for measurement of decision-making risk. It can help decision-makers to identify, classify and take appropriate measures to the risk of decision-making. It also supports overall management by measurement of risk of decision-making and construction of its model.Fourth, we put a new method to increase the value of the decision-making with the management of the risk of decision-making. That is Delta-EVT model. By sensitivity, value function and differential equations, we can transmit factors variance to earnings. We also can get excess losses distribution by hypothetical scenario, synthesizing the actual historical losses and external loss above the threshold and other external events information, which make it model and measurement to unexpected-losses. As a result, decision-makers can control volatility of earnings and risks in decision-making activities batter.Fifth, in the application of Delta-EVT model, we find the new thiking way to simplify the Solution through using the causal model to measure decision-making risk.
Keywords/Search Tags:Management of the Risk of Decision-making, Decision-making unit, Measurement of the Risk of Decision-making, Double-path Decision-making Value, Delta-EVT Model
PDF Full Text Request
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