An account of the first encounter, in 1938, of de Finetti with the notion of martingale is given. The reasons, of an actuarial nature, which led him to deal with the subject are explained, along with a description of the ensuing original contributions to the specific field of martingales. The value of some of his conclusions is, then, discussed in the light of later development of the theory. T...

Experimental results on the Ellsberg paradox typically reveal behavior that is commonly interpreted as ambiguity aversion. The experiments reported in the current paper were intended to examine the extent to which such ambiguity aversion can be captured by the Hurwicz criterion. However, contrary to our expectations, Laplace’s principle of insufficient reason performed substantially better than...

A key criterion for applying hedge accounting under SFAS 133 is the demonstration of hedge effectiveness. Retrospective assessment of hedge effectiveness may reveal hedge ineffectiveness – the extent to which a gain (loss) on the hedging derivative is not offset by a corresponding loss (gain) on the hedged item. SFAS 133 requires that this accounting measure of hedge ineffectiveness be reported...

Risk-sensitive criteria have been used to derive robust filters, identifiers, and controllers. The fundamental issues of existence and uniqueness of an estimate of a random variable given a random vector with respect to an order-( ) risk-sensitive criterion are studied in this note. More precisely, we prove the existence of a unique risk-sensitive estimate provided 0 and 1. For the remaining ca...

The assessment of hazardous materials (HazMats) transport risk assumes a fundamental importance, especially in urban areas, in order to identify possible alternative routes and choose among these the route of minimum risk.It is necessary to appropriately integrate risk analysis with planning and transport management to prevent a potential danger being transformed into a real event.In the presen...

The discounted utilitarian criterion for infinite horizon social choice has been criticized for treating generations unequally. We propose an extended rank-discounted utilitarian (ERDU) criterion instead. The criterion amounts to discounted utilitarianism on non-decreasing streams, but it treats all generations impartially: discounting becomes the mere expression of intergenerational inequality...

Telecommunications networks have become an important social infrastructure, and their robustness is considered to be a matter of social significance. Conventional network planning methods are generally based on the maximum volume of ordinary traffic and only assume explicitly specified failure scenarios. Therefore, present networks have marginal survivability against multiple failures induced b...

A fundamental difficulty for multidimentional poverty analysis is the identification of the poor. This paper proposes two multidimensional poverty indices: the intensive and extensive poverty, which correspond respectively to the most exclusive and inclusive definition of poverty defined according to multiple attributes. Bounds on the intensive and extensive poverty are provided. Drawing analog...

Weapon System Capability Assessment (WSCA) is the initial point of quantification of capabilities in the military capability planning (MCP). WSCA is often a multiple criteria decision making (MCDM) problem with both quantitative and qualitative information under uncertain environment. In this paper, the analysis process and algorithm for WSCA problem is proposed on the basis of belief structure...

W review the past year in this issue’s “From the Editors” column, which is coauthored with Managing Editor Kelly M. Kophazi, then we preview this issue’s five research articles. Our first article, by Naraphorn Haphuriwat, Vicki M. Bier, and Henry H. Willis, is on “Deterring the Smuggling of Nuclear Weapons in Container Freight Through Detection and Retaliation.” Next, Ali E. Abbas presents a me...