Using MACBETH with the choquet integral fundamentals to model interdependencies between elementary concerns in the context of risk management

Diana F. Lopes, Carlos A. Bana e Costa, Mónica D. Oliveira, Alec Morton

Research output: Contribution to conferencePaper

4 Citations (Scopus)

Abstract

Effective risk management typically requires the evaluation of multiple consequences of different sources of risk, and multicriteria value models have been used for that purpose. The value of mitigating a risk impact is often considered by risk managers as dependent on the levels of other impacts, therefore there is a need for procedures to identify and model these interactions within a value measurement framework. The Choquet Integral (CI) has been used for this purpose, and several studies in the performance measurement literature have combined the 2-additive CI operator with the MACBETH approach to model interdependencies in real contexts. In this paper, we propose an alternative procedure to model interdependencies and determine the CI parameters from one single MACBETH global matrix. The procedure is illustrated with the construction of a descriptor of impacts to evaluate the risk impacts at ALSTOM Power. The paper further explains the questioning protocol to apply the proposed procedure, as well as how decision-makers can interpret the CI parameters.

Conference

ConferenceICORES 2014: 3rd International Conference on Operations Research and Enterprise Systems
CountryFrance
CityAngers
Period6/03/148/03/14

Fingerprint

Interdependencies
Choquet integral
Risk management
Operator
Performance measurement
Managers
Interaction
Multi-criteria
Decision maker
Evaluation

Keywords

  • MACBETH
  • choquet integral
  • risk management
  • model interdependencies

Cite this

Lopes, D. F., Bana e Costa, C. A., Oliveira, M. D., & Morton, A. (2014). Using MACBETH with the choquet integral fundamentals to model interdependencies between elementary concerns in the context of risk management. Paper presented at ICORES 2014: 3rd International Conference on Operations Research and Enterprise Systems, Angers, France.
Lopes, Diana F. ; Bana e Costa, Carlos A. ; Oliveira, Mónica D. ; Morton, Alec. / Using MACBETH with the choquet integral fundamentals to model interdependencies between elementary concerns in the context of risk management. Paper presented at ICORES 2014: 3rd International Conference on Operations Research and Enterprise Systems, Angers, France.
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Lopes, DF, Bana e Costa, CA, Oliveira, MD & Morton, A 2014, 'Using MACBETH with the choquet integral fundamentals to model interdependencies between elementary concerns in the context of risk management' Paper presented at ICORES 2014: 3rd International Conference on Operations Research and Enterprise Systems, Angers, France, 6/03/14 - 8/03/14, .

Using MACBETH with the choquet integral fundamentals to model interdependencies between elementary concerns in the context of risk management. / Lopes, Diana F.; Bana e Costa, Carlos A.; Oliveira, Mónica D.; Morton, Alec.

2014. Paper presented at ICORES 2014: 3rd International Conference on Operations Research and Enterprise Systems, Angers, France.

Research output: Contribution to conferencePaper

TY - CONF

T1 - Using MACBETH with the choquet integral fundamentals to model interdependencies between elementary concerns in the context of risk management

AU - Lopes, Diana F.

AU - Bana e Costa, Carlos A.

AU - Oliveira, Mónica D.

AU - Morton, Alec

PY - 2014

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N2 - Effective risk management typically requires the evaluation of multiple consequences of different sources of risk, and multicriteria value models have been used for that purpose. The value of mitigating a risk impact is often considered by risk managers as dependent on the levels of other impacts, therefore there is a need for procedures to identify and model these interactions within a value measurement framework. The Choquet Integral (CI) has been used for this purpose, and several studies in the performance measurement literature have combined the 2-additive CI operator with the MACBETH approach to model interdependencies in real contexts. In this paper, we propose an alternative procedure to model interdependencies and determine the CI parameters from one single MACBETH global matrix. The procedure is illustrated with the construction of a descriptor of impacts to evaluate the risk impacts at ALSTOM Power. The paper further explains the questioning protocol to apply the proposed procedure, as well as how decision-makers can interpret the CI parameters.

AB - Effective risk management typically requires the evaluation of multiple consequences of different sources of risk, and multicriteria value models have been used for that purpose. The value of mitigating a risk impact is often considered by risk managers as dependent on the levels of other impacts, therefore there is a need for procedures to identify and model these interactions within a value measurement framework. The Choquet Integral (CI) has been used for this purpose, and several studies in the performance measurement literature have combined the 2-additive CI operator with the MACBETH approach to model interdependencies in real contexts. In this paper, we propose an alternative procedure to model interdependencies and determine the CI parameters from one single MACBETH global matrix. The procedure is illustrated with the construction of a descriptor of impacts to evaluate the risk impacts at ALSTOM Power. The paper further explains the questioning protocol to apply the proposed procedure, as well as how decision-makers can interpret the CI parameters.

KW - MACBETH

KW - choquet integral

KW - risk management

KW - model interdependencies

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M3 - Paper

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Lopes DF, Bana e Costa CA, Oliveira MD, Morton A. Using MACBETH with the choquet integral fundamentals to model interdependencies between elementary concerns in the context of risk management. 2014. Paper presented at ICORES 2014: 3rd International Conference on Operations Research and Enterprise Systems, Angers, France.