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Stochastic Asset Pricing with Seismic Hazard Risk / Hoshiya, Masaru in Journal of engineering mechanics, Vol. 130 N°7 (Juillet 2004) 

Public ISBD [article]  in Journal of engineering mechanics > Vol. 130 N°7 (Juillet 2004) . - 780-785 p. Titre : Stochastic Asset Pricing with Seismic Hazard Risk Titre original : Capitaux Stochastiques Evaluant avec le Risque Séismique de Risque Type de document : texte imprimé Auteurs : Hoshiya, Masaru, Auteur ; Nakamura, Takaaki, Auteur ; Mochizuki, Tomoya ; Schueller, Gerhart L., Editeur scientifique Article en page(s) : 780-785 p. Note générale : Génie Mécanique Langues : Anglais (eng) Mots-clés : Pricing  Markov  process  Life  cycle  cost  Stochastic  processes  Hazards  Risk  management  Evaluation  Processus  de  Markov  Coût  de  cycle  de  vie  Processus  stochastiques  Risques  Gestion  des  risques Index. décimale : 620.1 Essais des matériaux. Défauts des matériaux. Protection des matériaux Résumé : Since cash flow of asset in the long run is generally subject to economic fluctuation, and also to potential damage due to seismic hazard risk, asset pricing is more relevantly evaluated, provided that uncertainties of both cash flow and seismic risk are properly taken into account. This study will propose a discounted cash flow method to evaluate asset pricing, in which incomes gained from asset are modeled as a Markov process and seismic loss is modeled due to only one earthquake event during the service time. A numerical example is demonstrated for an 11 story steel reinforced commercial building considering the service time of 50 years. Various risk.asset price curves are numerically obtained in the form of probability of excess versus asset price with discount rate as a parameter for cases with and without earthquake loss taken into account, and for a case in which earthquake strengthening measure is implemented. These curves contribute information to decision makers in charge of risk and investment management. DEWEY : 620.1 ISSN : 0733-9399 En ligne : mhoshiya@eng.musashi-tech.ac.jp [article] Stochastic Asset Pricing with Seismic Hazard Risk = Capitaux Stochastiques Evaluant avec le Risque Séismique de Risque [texte imprimé] / Hoshiya, Masaru, Auteur ; Nakamura, Takaaki, Auteur ; Mochizuki, Tomoya ; Schueller, Gerhart L., Editeur scientifique . - 780-785 p. Génie Mécanique Langues : Anglais (eng) in Journal of engineering mechanics > Vol. 130 N°7 (Juillet 2004) . - 780-785 p. Mots-clés : Pricing  Markov  process  Life  cycle  cost  Stochastic  processes  Hazards  Risk  management  Evaluation  Processus  de  Markov  Coût  de  cycle  de  vie  Processus  stochastiques  Risques  Gestion  des  risques Index. décimale : 620.1 Essais des matériaux. Défauts des matériaux. Protection des matériaux Résumé : Since cash flow of asset in the long run is generally subject to economic fluctuation, and also to potential damage due to seismic hazard risk, asset pricing is more relevantly evaluated, provided that uncertainties of both cash flow and seismic risk are properly taken into account. This study will propose a discounted cash flow method to evaluate asset pricing, in which incomes gained from asset are modeled as a Markov process and seismic loss is modeled due to only one earthquake event during the service time. A numerical example is demonstrated for an 11 story steel reinforced commercial building considering the service time of 50 years. Various risk.asset price curves are numerically obtained in the form of probability of excess versus asset price with discount rate as a parameter for cases with and without earthquake loss taken into account, and for a case in which earthquake strengthening measure is implemented. These curves contribute information to decision makers in charge of risk and investment management. DEWEY : 620.1 ISSN : 0733-9399 En ligne : mhoshiya@eng.musashi-tech.ac.jp

Stochastic interpolation of spatial random fields by BF/MCF-ISM / Osamu Maruyama in Journal of engineering mechanics, Vol. 134 N°2 (Fevrier 2008) 

Public ISBD [article]  in Journal of engineering mechanics > Vol. 134 N°2 (Fevrier 2008) . - pp.198–205. Titre : Stochastic interpolation of spatial random fields by BF/MCF-ISM Type de document : texte imprimé Auteurs : Osamu Maruyama, Auteur ; Hoshiya, Masaru, Auteur Année de publication : 2008 Article en page(s) : pp.198–205. Note générale : Mécanique applqiuée Langues : Anglais (eng) Mots-clés : Bayesian  analysis  Monte  Carlo  method  Kalman  filters  Stochastic  processes Résumé : In the past, interpolation of random fields was successfully treated by Kriging methods for Gaussian fields, and by conditional simulation techniques for a class of non-Gaussian translation fields. Recently, bootstrap filter/Monte Carlo filter (BF/MCF) is extensively used for interpolation of general non-Gaussian fields. However, while BF/MCF is a versatile tool to interpolate non-Gaussian fields, that is an algorithm of generating a set of sample realizations of both a predicted state vector and a filtered state vector, the computational cost is expensive due to the required sample size. In order to reduce the required sample size, an importance sampling function derived from the updating theory of Gaussian fields is applied to the ordinary BF/MCF. Interpolation of spatial fields is first demonstrated by using numerically simulated data, and the BF/MCF incorporated with importance sampling technique (BF/MCF-ISM) for the state estimation of conditional non-Gaussian fields is performed with respect to its efficiency in variance reduction. ISSN : 0733-9399 En ligne : http://ascelibrary.org/doi/abs/10.1061/%28ASCE%290733-9399%282008%29134%3A2%2819 [...] [article] Stochastic interpolation of spatial random fields by BF/MCF-ISM [texte imprimé] / Osamu Maruyama, Auteur ; Hoshiya, Masaru, Auteur . - 2008 . - pp.198–205. Mécanique applqiuée Langues : Anglais (eng) in Journal of engineering mechanics > Vol. 134 N°2 (Fevrier 2008) . - pp.198–205. Mots-clés : Bayesian  analysis  Monte  Carlo  method  Kalman  filters  Stochastic  processes Résumé : In the past, interpolation of random fields was successfully treated by Kriging methods for Gaussian fields, and by conditional simulation techniques for a class of non-Gaussian translation fields. Recently, bootstrap filter/Monte Carlo filter (BF/MCF) is extensively used for interpolation of general non-Gaussian fields. However, while BF/MCF is a versatile tool to interpolate non-Gaussian fields, that is an algorithm of generating a set of sample realizations of both a predicted state vector and a filtered state vector, the computational cost is expensive due to the required sample size. In order to reduce the required sample size, an importance sampling function derived from the updating theory of Gaussian fields is applied to the ordinary BF/MCF. Interpolation of spatial fields is first demonstrated by using numerically simulated data, and the BF/MCF incorporated with importance sampling technique (BF/MCF-ISM) for the state estimation of conditional non-Gaussian fields is performed with respect to its efficiency in variance reduction. ISSN : 0733-9399 En ligne : http://ascelibrary.org/doi/abs/10.1061/%28ASCE%290733-9399%282008%29134%3A2%2819 [...]