Risk control in maritime shipping investments
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Risk control in maritime shipping investments. / Skålnes, Jørgen; Fagerholt, Kjetil; Pantuso, Giovanni; Wang, Xin.
I: Omega (United Kingdom), 2020.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Risk control in maritime shipping investments
AU - Skålnes, Jørgen
AU - Fagerholt, Kjetil
AU - Pantuso, Giovanni
AU - Wang, Xin
PY - 2020
Y1 - 2020
N2 - In this paper we extend the state-of-the-art stochastic programming models for the Maritime Fleet Renewal Problem (MFRP) to explicitly limit the risk of insolvency due to negative cash flows when making maritime shipping investments. This is achieved by modeling the payment of ships in a number of periodical installments rather than in a lump sum paid upfront, representing more closely the actual cash flows for a shipping company. Based on this, we propose two alternative risk control measures, where the first imposes that the cash flow in each time period is always higher than a desired threshold, while the second limits the Conditional Value-at-Risk. We test the two models on realistic test instances based on data from a shipping company. The computational study demonstrates how the two models can be used to assess the trade-offs between risk of insolvency and expected profits in the MFRP.
AB - In this paper we extend the state-of-the-art stochastic programming models for the Maritime Fleet Renewal Problem (MFRP) to explicitly limit the risk of insolvency due to negative cash flows when making maritime shipping investments. This is achieved by modeling the payment of ships in a number of periodical installments rather than in a lump sum paid upfront, representing more closely the actual cash flows for a shipping company. Based on this, we propose two alternative risk control measures, where the first imposes that the cash flow in each time period is always higher than a desired threshold, while the second limits the Conditional Value-at-Risk. We test the two models on realistic test instances based on data from a shipping company. The computational study demonstrates how the two models can be used to assess the trade-offs between risk of insolvency and expected profits in the MFRP.
KW - Conditional value-at-risk
KW - Maritime fleet renewal
KW - Maritime transportation
KW - Risk control
KW - Stochastic programming
U2 - 10.1016/j.omega.2019.07.003
DO - 10.1016/j.omega.2019.07.003
M3 - Journal article
AN - SCOPUS:85068829846
JO - Omega: The International Journal of Management Science
JF - Omega: The International Journal of Management Science
SN - 0305-0483
ER -
ID: 225613797