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)
136 Downloads (Pure)

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.
Original languageEnglish
Publication statusPublished - 2014
EventICORES 2014: 3rd International Conference on Operations Research and Enterprise Systems - Eseo, Angers, France
Duration: 6 Mar 20148 Mar 2014

Conference

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

Keywords

  • MACBETH
  • choquet integral
  • risk management
  • model interdependencies

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    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.