2015 Informs Annual Meeting

SB08

INFORMS Philadelphia – 2015

2 - The Price of Uncertainty in Financial Networks Peng-chu Chen, Purdue University, 315 N. Grant Street, West Lafayette, IN, United States of America, chen621@purdue.edu, Agostino Capponi We derive lower and upper bounds for systemic losses incurred in networks, under partial information on interbank assets and liabilities. Our findings indicate that the uncertainty gap is highly sensitive to the realization of default events in the network. 3 - Why are Fee-to-Collateral Ratios so Extreme? Allen Cheng, Graduate Student, Columbia University, 182 Claremont Avenue Apt. 42, New York, NY, 10027, United States of America, msa955126@gmail.com, Agostino Capponi We develop a game-theoretic model of centralized clearing to analyze a clearinghouse’s choice of transaction fee and collateral requirements. The clearinghouse’s requirements affect not only the size and riskiness of her participating client base, but also the transaction fees charged to clients by her clearing member. We show that empirically observed extreme fee-to-collateral ratios can be explained as the equilibrium arising from strategic interactions between profit maximizing agents. 4 - Multivariate Systemic and Market Risk Measures Cagin Ararat, Assistant Professor, Bilkent University, Department of Industrial Engineering, Bilkent University, Ankara, 08540, Turkey, cararat@princeton.edu, Birgit Rudloff A common framework to study systemic risk measures and risk measures for multi-asset frictional markets is proposed. The structure of the network/market is modeled via a set-valued function whose special cases include the aggregation mechanisms for financial networks and the solvency cones for transaction cost markets. A general dual representation result is presented with economic interpretations for the special cases. SB08 08-Room 308, Marriott Cooperation and Integration Approaches to Modern Telecommunication Networks Problematics Sponsor: Telecommunications Sponsored Session Chair: Albena Mihovska, Center for TeleInfrastruktur-Aalborg University, Fredrik Bajers Vej 7C1-113, Aalborg ÿ, Da, 9220, Denmark, albena@es.aau.dk 1 - A Game Theoretic Approach to Modeling Telecommunications Security During Disasters Michael Bartolacci, Professor, Information Sciences and Technology, Penn State University - Berks, Reading, PA, 19610, United States of America, mrb24@psu.edu During times of crisis, the opportunities for hackers, terrorists,and other disruptive parties to disrupt important communications grows due to the sometimes chaotic conditions. A game theoretic approach is used to model disruptions to emergency management communications. Insight can be gained into how to minimize the probability and the impact of such disruptions. 2 - Behavior Model for Cooperative Communications Based on Stackelberg Game Albena Mihovska, Center for TeleInfrastruktur-Aalborg University, Fredrik Bajers Vej 7C1-113, Aalborg ÿ, Da, 9220, Denmark, albena@es.aau.dk In cooperative communications the sender needs to ask a relay to forward its packets toward the destination. The relay responds to the sender about whether or not to relay the packet. This sequential procedure can be modeled by the Stackelberg competition, and the optimal strategy is solved by backward- induction. 3 - Cooperative versus Non-Cooperative Placement of Relay Stations in Wireless Sensor Networks Chelsea Fogarty, Mba Student, Southwest Minnesota State University, 1501 State street, Marshall, MN, 56258, United States of America, Chelsea.Fogarty@smsu.edu, Vinay Gonela, Joseph Szmerekovsky This paper focuses on designing a wireless sensor network under cooperative and non-cooperative planning schemes such that the total relay station cost is minimized. An MILP model is proposed that aims to determine the: 1) optimal location of relay stations, and 2) optimal assignment of sensors to relay stations.A case study set based on the Midwest region of the United States is conducted. The results indicate a significant trade-off between the number of relay stations and computational time.

4 - The Power of Integrated Wireless and Mobile Communication Technologies and their Impact on the Corporate World Izabella Lokshina, Center for TeleInfrastruktur-Aalborg University, Fredrik Bajers Vej 7C1-113, Aalborg Ø Da 9220, Denmark,Izabella.Lokshina@oneonta.edu The impact of integrated wireless and mobile communication technologies on the corporate world is very substantial. There is no restriction in terms of the application domains as illustrated by the models and primary scenarios provided in healthcare, education, business organizations and emergency services. Today, the challenge is to build the next generation of applications that will enable more of the models and primary scenarios across many other domains, such as transportation, energy, and manufacturing. It becomes clear through the models and primary scenarios that the power of integrated wireless and mobile technologies is certainly in several orders of magnitude greater than the simple sum of their separate individual impacts. This observation, combined with the continuous growth of wireless access and mobility, leads clearly to the belief that integrated wireless and mobile communication technologies are key success factors, even if there are challenges presented by such issues as the SLA (Service Level Agreement), security, privacy, mixed mode usage and deployment, and finding the appropriate business models for profitable growth. Panel Discussion: Research Opportunities in Entrepreneurship, Innovation and Operations Management Sponsor: Technology, Innovation Management & Entrepreneurship Sponsored Session Chair: Sinan Erzurumlu, Assoc. Prof., Babson College, 231 Forest St, Babson Park, MA, 02456, United States of America, serzurumlu@babson.edu 1 - Panel Discussion: Research Opportunities in Entrepreneurship, Innovation and Operations Management Moderator: Sinan Erzurumlu, Assoc. Prof., Babson College, 231 Forest St, Babson Park, MA, 02456, United States of America, serzurumlu@babson.edu This session brings together top scholars who do research in the interface of entrepreneurship, innovation and operations management. Each speaker will present his/her perspective on emerging research themes that may be of interest to researchers in the fields of innovation, technology management, new product development, organization science, and operations management. A follow-up Q&A and discussion with audience participation will follow to uncover research and teaching topics on the field. SB10 10-Room 310, Marriott Healthcare and Population Heath in the Digital Economy Chair: Brad Greenwood, Assistant Professor, Temple University, 1810 North 13th Street, Philadelphia, PA, 19122, United States of America, brad.n.greenwood@gmail.com 1 - When is an Ounce of Prevention Worth a Pound of Cure? Finding High-risk Patients for Case Management David Anderson, Assistant Professor, Baruch, davidryberganderson@gmail.com, Margret Bjarnadottir One of the key questions in case management is which patients to enroll, and most programs target current high-cost patients. However the real potential is including lower cost patients at high risk of future high healthcare costs. Identifying these patient is a hard classification task. In this study we infuse classical classification models with association rules to identify and include higher order interactions. SB09 09-Room 309, Marriott Sponsor: E-Business Sponsored Session

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