An Application of Bayesian Inference on the Modeling and Estimation of Operational Risk Using Banking Loss Data

Bayesian inference method has been presented in this paper for the modeling of operational risk. Bank internal and external data are divided into defined loss cells and then fitted into probability distributions. The distribution parameters and their uncertainties are estimated from posterior distributions derived using the Bayesian inference. Loss frequency is fitted into Poisson distributions. While the Poisson parameters, in a similar way, are defined by a posterior distribution developed using Bayesian inference. Bank operation loss typically has some low frequency but high magnitude loss data. These heavy tail low frequency loss data are divided into several buckets where the bucket frequencies are defined by the experts. A probability distribution, as defined by the internal and external data, is used for these data. A Poisson distribution is used for the bucket frequencies. However instead of using any distribution of the Poisson parameters, point estimations are used. Monte Carlo simulation is then carried out to calculate the capital charge of the in- ternal as well as the heavy tail high profile low frequency losses. The output of the Monte Carlo simulation defines the capital requirement that has to be allocated to cover potential operational risk losses for the next year.

Reliability Risk Evaluation Method for Complex Mechanical System Based on Optimal Bayesian Network

In order to reduce the calculation of the failure probability in the complex mechanical system reliability risk evaluation,and to implement importance analysis of system components effectively,the system fault tree was converted into five different Bayesian network models. The Bayesian network with the minimum conditional probability table specification and the highest computation efficiency was selected as the optimal network. The two heuristics were used to optimize the Bayesian network. The fault diagnosis and causal reasoning of the system were implemented by using the selected Bayesian network. The calculation methods of Fussel-Vesely( FV),risk reduction worth( RRW),Birnbaum measure( BM) and risk achievement worth( RAW) importances were presented. A certain engine was taken as an application example to illustrate the proposed method. The results show that not only the correlation of the relevant variables in the system can be accurately expressed and the calculation complexity can be reduced,but also the relatively weak link in the system can be located accurately.

Bayesian Inference on Type-Ⅰ Progressively Hybrid Competing Risks Model

In this paper, we construct a Bayesian framework combining Type-Ⅰ progressively hybrid censoring scheme and competing risks which are independently distributed as exponentiated Weibull distribution with one scale parameter and two shape parameters. Since there exist unknown hyper-parameters in prior density functions of shape parameters, we consider the hierarchical priors to obtain the individual marginal posterior density functions,Bayesian estimates and highest posterior density credible intervals. As explicit expressions of estimates cannot be obtained, the componentwise updating algorithm of Metropolis-Hastings method is employed to compute the numerical results. Finally, it is concluded that Bayesian estimates have a good performance.

A Software Risk Analysis Model Using Bayesian Belief Network

The uncertainty during the period of software project development often brings huge risks to contractors and clients. If we can find an effective method to predict the cost and quality of software projects based on facts like the project character and two-side cooperating capability at the beginning of the project,we can reduce the risk. Bayesian Belief Network(BBN) is a good tool for analyzing uncertain consequences, but it is difficult to produce precise network structure and conditional probability table.In this paper,we built up network structure by Delphi method for conditional probability table learning,and learn update probability table and nodes’confidence levels continuously according to the application cases, which made the evaluation network have learning abilities, and evaluate the software development risk of organization more accurately.This paper also introduces EM algorithm, which will enhance the ability to produce hidden nodes caused by variant software projects.

A Bayesian Network Approach for Offshore Risk Analysis Through Linguistic Variables

This paper presents a new approach for offshore risk analysis that is capable of dealing with linguistic probabilities in Bayesian networks （ BNs）. In this paper, linguistic probabilities are used to describe occurrence likelihood of hazardous events that may cause possible accidents in offshore operations. In order to use fuzzy information, an f-weighted valuation function is proposed to transform linguistic judgements into crisp probability distributions which can be easily put into a BN to model causal relationships among risk factors. The use of linguistic variables makes it easier for human experts to express their knowledge, and the transformation of linguistic judgements into crisp probabilities can significantly save the cost of computation, modifying and maintaining a BN model. The flexibility of the method allows for multiple forms of information to be used to quantify model relationships, including formally assessed expert opinion when quantitative data are lacking, or when only qualitative or vague statements can be made. The model is a modular representation of uncertain knowledge caused due to randomness, vagueness and ignorance. This makes the risk analysis of offshore engineering systems more functional and easier in many assessment contexts. Specifically, the proposed f-weighted valuation function takes into account not only the dominating values, but also the a-level values that are ignored by conventional valuation methods. A case study of the collision risk between a Floating Production, Storage and Off-loading （FPSO） unit and the anthorised vessels due to human elements during operation is used to illustrate the application of the proposed model.

Assessment and Countermeasures for Offshore Wind Farm Risks Based on a Dynamic Bayesian Network

Wind power is a kind of clean energy promising significant social and environmental benefits, and in The Peoples Republic of China, the government supports and encourages the development of wind power as one element in a shift to renewable energy. In recent years however, maritime safety issues have arisen during offshore wind power construction and attendant production processes associated with the rapid promotion and development of offshore wind farms. Therefore, it is necessary to carry out risk assessment for phases in the life cycle of offshore wind farms. This paper reports on a risk assessment model based on a Dynamic Bayesian network that performs offshore wind farms maritime risk assessment. The advantage of this approach is the way in which a Bayesian model expresses uncertainty. Furthermore, such models permit simulations and reenactment of accidents in a virtual environment. There were several goals in this research. Offshore wind power project risk identification and evaluation theories and methods were explored to identify the sources of risk during different phases of the offshore wind farm life cycle. Based on this foundation, a dynamic Bayesian network model with Genie was established, and evaluated, in terms of its effectiveness for analysis of risk during different phases of the offshore wind farm life cycle. Research results show that a dynamic Bayesian network method can perform risk assessments effectively and flexibly, responding to the actual context of offshore wind power construction. Historical data and almost real-time information are combined to analyze the risk of the construction of offshore wind power. Our results inform a discussion of security and risk mitigation measures that when implemented, could improve safety. This work has value as a reference and guide for the safe development of offshore wind power.

基于Bayesian理论的测试性验证试验方案

为了降低测试性验证试验的不确定性风险损失,提出了基于Bayesian理论的测试性验证试验方案。该方案综合考虑了故障注入成本以及弃真和采伪两类风险损失,建立了基于风险损失的试验方案模型。根据Bayesian理论,结合验前信息推导出试验最小样本和最大合格判定数的计算公式,并给出基于Bayesian平均风险准则的弃真和采伪两类风险参数的求解方法。在此基础上,按照试验期望风险损失最小的原则求解试验方案模型。结果表明,该方案能有效降低试验两类风险损失。

一种基于Bayesian网络的信息安全风险分析模型研究

研究了信息安全风险评估风险分析阶段的相关问题。采用风险程度来表征风险的大小,将贝叶斯网络引入到风险计算的过程中,建立了一个基于贝叶斯网络的风险分析模型,有效地将风险评估与专家知识结合起来。

常规公交风险的SEM与Bayesian Network组合评估方法研究

常规公交系统具有载客量大、班次多、线路固定等特点,存在多种安全风险隐患。为综合评估常规公交风险,对国内外554条事故数据分析整理,构建了常规公交风险指标体系。建立了常规公交风险评估的结构方程模型,得到常规公交风险因素对事故的单向拓扑结构。在结构学习的基础上,利用信息熵理论研究风险因素对预测结果可信度的影响权重,从而进行变量筛选。以失火事故为例利用贝叶斯网络模型进行了城市常规公交风险评估参数学习。研究结果表明,失火事故的主要风险因素为油气泄漏、车内外温度均较高等。在风险因素组合作用下失火事故发生概率范围为0.002 1至0.842 9。所建模型预测精度高,验证了方法的科学性和准确性,可用于进行定量化的常规公交风险评估。

基于Bayesian网络与复杂网络理论的特/超高压输电线路状态评估模型

为有效衡量特高压输电线路外部工作条件和所在系统内部运行状态对线路状态评估的影响,采用Bayesian网络定量分析了输电线路在各种外部条件下的故障概率;结合复杂网络理论分析方法,引入系统几何量参数量化线路重要程度的差异;借鉴风险评估思想,提出了基于Bayesian网络与复杂网络理论的输电线路综合状态评估模型。仿真计算结果表明,所提模型对电网中运行风险高且系统地位重要的线路具有较好的辨识能力。与基于线路外部条件信息的状态评估方法相比,该模型增加了系统内部运行信息,提高了线路实时重要性的辨识能力,且计算速度快,符合实际工程需要。

基于Bayesian隧道施工风险模糊综合评估方法

提出了基于贝叶斯网络的隧道施工风险模糊综合评估方法,以龙家岩隧道实际收集数据为基础,首先对隧道工程进行总体风险评估,然后进行专项评估,此项中运用了贝叶斯网络的评估方法对事件风险的自然概率进行计算,并结合模糊综合评估方法对隧道工程风险进行评价,得到隧道工程的风险事件的风险等级。研究结果表明,龙家岩隧道洞口开挖的风险等级为2级,钻爆作业的风险等级2级,初期支护的风险等级为5级。这与现场施工的风险水平较为接近,从而可以看出本评估方法的合理性及实际施工过程中的适用性。本方法最终评估结果为隧道施工的风险预测及预防提供了参考依据。

Efficient Bayesian networks for slope safety evaluation with large quantity monitoring information

New sensing and wireless technologies generate massive data. This paper proposes an efficient Bayesian network to evaluate the slope safety using large-quantity field monitoring information with underlying physical mechanisms. A Bayesian network for a slope involving correlated material properties and dozens of observational points is constructed.

The Application of Big data Mining in Risk Warning for Food Safety

Comprehensive evaluation and warning is very important and difficult in food safety. This paper mainly focuses on introducing the application of using big data mining in food safety warning field. At first,we introduce the concept of big data miming and three big data methods. At the same time,we discuss the application of the three big data miming methods in food safety areas. Then we compare these big data miming methods,and propose how to apply Back Propagation Neural Network in food safety risk warning.

基于层次Bayesian网络及后验风险准则的故障样本量确定方法

针对现有测试性验证方法对装备系统结构考虑不足,且在双方风险约束条件下所确定的故障样本量过大问题,提出一种基于层次Bayesian网络和后验风险准则的故障样本量确定方法。根据装备系统结构建立测试性验证方法的层次Bayesian网络模型,并以故障检测率作为Bayesian网络的传递参数;提出Bayesian网络不确定性推理算法,充分融合各层次测试性先验信息,同时基于偏度-峰度检验的拟合分布选取方法推导出系统故障检测率联合先验分布;进一步结合系统成败型数据确定其后验分布,基于后验样本数据集和Bayes后验风险准则设计故障样本量确定算法,通过实例进行分析。结果表明,与经典验证方法、传统Bayesian方法相比,所提方法在相同双方指标约束下能有效降低样本量。

Risk assessment and management in underground rock engineering——an overview

This paper attempts to provide an overview of risk assessment and management practice in underground rock engineering based on a review of the international literature and some personal experience. It is noted that the terminologies used in risk assessment and management studies may vary from country to country. Probabilistic risk analysis is probably the most widely-used approach to risk assessment in rock engineering and in geotechnical engineering more broadly. It is concluded that great potential exists to augment the existing probabilistic methods by the use of Bayesian networks and decision analysis techniques to allow reasoning under uncertainty and to update probabilities, material properties and analyses as further data become available throughout the various stages of a project. Examples are given of the use of these methods in underground excavation engineering in China and elsewhere, and opportunities for their further application are identified.

Failure Statistics Analysis Based on Bayesian Theory: A Study of FPSO Internal Turret Leakage

The load and corrosion caused by the harsh marine environment lead to the severe degradation of offshore equipment and to their compromised security and reliability. In the quantitative risk analysis, the failure models are difficult to establish through traditional statistical methods. Hence, the calculation of the occurrence probability of small sample events is often met with great uncertainty. In this study, the Bayesian statistical method is implemented to analyze the oil and gas leakages of FPSO internal turret, which is a typical small sample risk but could lead to severe losses.According to the corresponding failure mechanism, two Bayesian statistical models using the Weibull distribution and logarithmic normal distribution as the population distribution are established, and the posterior distribution of the corresponding parameters is calculated. The optimal Bayesian statistical model is determined according to the Bayesian information criterion and Akaike criterion. On the basis of the determined optimal model, the corresponding reliability index is solved to provide basic data for the subsequent risk assessments of FPSO systems.

BAYESIAN DEMONSTRATION TEST METHOD WITH MIXED BETA DISTRIBUTION

A complex mechatronics system Bayesian plan of demonstration test is studied based on the mixed beta distribution. During product design and improvement various information is appropriately considered by introducing inheritance factor, moreover, the inheritance factor is thought as a random variable, and the Bayesian decision of the qualification test plan is obtained, and the correctness of a Bayesian model presented is verified. The results show that the quantity of the test is too conservative according to classical methods under small binomial samples. Although traditional Bayesian analysis can consider test information of related or similar products, it ignores differences between such products. The method has solved the above problem, furthermore, considering the requirement in many practical projects, the differences among this method, the classical method and Bayesian with beta distribution are compared according to the plan of reliability acceptance test.

基于Bayesian Network的工程质量风险管理研究

在项目的全生命周期中影响质量的不确定因素很多,本文研究工程质量风险管理,在对引起工程质量问题的各种风险因素调查研究的基础上,提出了风险识别与风险评估的流程;基于Bayesian Network的风险管理预测框架,构建工程质量风险管理的Bayesian Network模型,并选出最优的风险管理方案,可为大型工程项目质量风险管理提供一种有效、方便的定量预测管理方法。

故障树和模糊贝叶斯网络在管廊运维风险评估中的应用研究

地下综合管廊是城市的生命线,一旦出现问题就会对人们生命财产安全造成巨大损害。为了系统地分析管廊运维风险,建立了基于模糊贝叶斯网络的风险评估框架。首先,通过分析管廊运维风险源与风险形成的原因以确定风险事件和风险类别;其次,建立管廊运维风险故障树来梳理风险因素之间的逻辑关系,将故障树映射为贝叶斯网络;最后,结合专家模糊评价,构建地下综合管廊运维风险评估模型。案例分析结果显示:中间事件“火灾、爆炸”与“危害气体浓度过高”的发生概率较高。敏感性分析结果显示:“运维人员操作和维护不当”是导致管廊运维风险发生的根本事件,因此需要制定严格管理措施及规范,加强对运维人员的素质培训,以降低管廊运维过程中各种风险的发生概率。

A Website Security Risk Assessment Method Based on the I-BAG Model

In order to protect the website and assess the security risk of website, a novel website security risk assessment method is proposed based on the improved Bayesian attack graph(I-BAG) model. First, the Improved Bayesian attack graph model is established, which takes attack benefits and threat factors into consideration. Compared with the existing attack graph models, it can better describe the website's security risk. Then, the improved Bayesian attack graph is constructed with optimized website attack graph, attack benefit nodes, threat factor nodes and the local conditional probability distribution of each node, which is calculated accordingly. Finally, website's attack probability and risk value are calculated on the level of nodes, hosts and the whole website separately. The experimental results demonstrate that the risk evaluating method based on I-BAG model proposed is a effective way for assessing the website security risk.