Purpose – The aim is to study jump liquidity risk and its impact on risk measures: value at risk (VaR) and conditional VaR (CVaR). Design/methodology/approach – The liquidity discount factor is modelled with mean revision jump diffusion processes and the liquidity risk is integrated in the...

Purpose – The aim of the paper is to present and illustrate a new approach for long-range planning. Design/methodology/approach – Building on well-tested frameworks such as activity-based costing (ABC), life-cycle costing (LCC) and Monte Carlo methods as well as earlier case studies, an...

"The successful management of transgenic technology is likely to depend on the economic behavioral response of farmers to the regulated use of transgenic crops. A well-studied example is the widespread use of Bt-corn, in the United States, and elsewhere, to control the European Corn Borer, a...

We develop a stochastic Markov chain model to obtain the probability density function (pdf) for a player to win a match in tennis. By analyzing both individual player and 'field' data (all players lumped together) obtained from the 2007 Men's Association of Tennis Professionals (ATP) circuit, we...

Purpose – This paper aims to propose the framework of a decision support system (DSS) to select the optimal number of suppliers that are candidate to join a supply chain network. Design/methodology/approach – The DSS bases the decision on the cost evaluation of the transaction among the...

This paper examines how uncertainty regarding future mortality and life expectancy outcomes, i.e. longevity risk, affects employer-provided defined benefit (DB) private pension plans liabilities. The paper argues that to assess uncertainty and associated risks adequately, a stochastic approach...

Purpose – The aim of this paper is to introduce uncertainty analysis within an environmentally extended input‐output technological model of life cycle costing. The application of this approach will be illustrated with reference to the ceramic floor tiles manufacturing process....