Skip to main content

Value-at-Risk and Conditional Value-at-Risk Minimization for Hazardous Materials Routing

  • Chapter
  • First Online:

Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 193))

Abstract

This chapter provides fundamentals of value-at-risk and conditional value-at-risk models applied to routing problems in hazardous materials transportation.

This is a preview of subscription content, log in via an institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   84.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD   109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Notes

  1. 1.

    http://phmsa.dot.gov/hazmat/glossary

References

  • Abkowitz M, Cheng P (1988) Developing a risk/cost framework for routing truck movements of hazardous materials. Accid Anal Prev 20(1):39

    Article  Google Scholar 

  • Abkowitz M, Eiger A, Srinivasan S (1984) Estimating the release rates and costs of transporting hazardous waste. Transport Res Rec 977:22–30

    Google Scholar 

  • Abkowitz M, Lepofsky M, Cheng P (1992) Selecting criteria for designating hazardous materials highway routes. Transport Res Rec 1333:30–35

    Google Scholar 

  • Acerbi C (2002) Spectral measures of risk: a coherent representation of subjective risk aversion. J Bank Finance 26:1505–1518

    Article  Google Scholar 

  • Acerbi C (2004) Coherent representations of subjective risk-aversion. In: Szeö G (ed) Risk measures for the 21st century. Wiley, New York, pp 147–207

    Google Scholar 

  • Artzner P, Delbaen F, Eber J, Heath D (1999) Coherent measures of risk. Math Finance 9(3):203–228

    Article  Google Scholar 

  • Batta R, Chiu S (1988) Optimal obnoxious paths on a network: transportation of hazardous materials. Oper Res 36(1):84–92. http://www.jstor.org/stable/171380

    Google Scholar 

  • Craft R (2004) Crashes involving trucks carrying hazardous materials. Federal Motor Carrier Safety Administration. http://www.fmcsa.dot.gov/facts-research/research-technology/analysis/fmcsa-ri-04-024.htm

  • Dah-Nein Tzang RML (1990) Hedge ratios under inherent risk reduction in commodity complex. J Futures Markets 10:497–504

    Article  Google Scholar 

  • Dowd K, Blake D (2006) After var: the theory, estimation, and insurance applications of quantile-based risk measures. J Risk Insur 73(2):193–229

    Article  Google Scholar 

  • Einhorn D (2008) Private profits and socialized risk. Global Association of Risk Professionals Risk Review, June/July, No. 42, pp 10–18

    Google Scholar 

  • Erkut E, Ingolfsson A (2000) Catastrophe avoidance models for hazardous materials route planning. Transport Sci 34(2):165

    Article  Google Scholar 

  • Erkut E, Ingolfsson A (2005) Transport risk models for hazardous materials: revisited. Oper Res Lett 33(1):81–89

    Article  Google Scholar 

  • Erkut E, Verter V (1998) Modeling of transport risk for hazardous materials. Oper Res 46(5):625–642

    Article  Google Scholar 

  • Erkut E, Tjandra S, Verter V (2007) Hazardous materials transportation. In: Barnhart C, Laporte G (eds) Transportation, Handbooks in operations research & management science, vol 14, chap 9, North Holland, pp 539–611. http://www.sciencedirect.com/science/article/pii/S0927050706140098

  • Federal Motor Carrier Safety Administration (2007) Final report: designation of highway routes for hazardous materials shipments: literature review. U.S. Department of Transportation, prepared by Battelle

    Google Scholar 

  • Federal Motor Carrier Safety Administration (2008) Guidance document: hazardous materials routing using safety and security criteria. U.S. Department of Transportation, prepared by Battelle

    Google Scholar 

  • Helander M, Melachrinoudis E (1997) Facility location and reliable route planning in hazardous material transportation. Transport Sci 31(3):216–226

    Article  Google Scholar 

  • Huang B, Cheu R, Liew Y (2004) GIS and genetic algorithms for HAZMAT route planning with security considerations. Int J Geogr Inform Sci 18(8):769–787

    Article  Google Scholar 

  • Jin H, Batta R (1997) Objectives derived from viewing hazmat shipments as a sequence of independent Bernoulli trials. Transport Sci 31(3):252–261

    Article  Google Scholar 

  • Kang Y, Batta R, Kwon C (2011) Generalized route planning model for hazardous material transportation with var and equity considerations. Working paper

    Google Scholar 

  • Kang Y, Batta R, Kwon C. Value-at-risk model for hazardous material transportation. Ann Oper Res. doi: 10.1007/s10479-012-1285-0

  • Kwon C (2011) Conditional value-at-risk model for hazardous materials transportation. In: Jain S, Creasey RR, Himmelspach J, White KP, Fu M (eds) Proceedings of the 2011 winter simulation conference. pp 1708–1714

    Google Scholar 

  • Pruzzo L, Cantet RJ, Fioretti CC (2003) Risk-adjusted expected return for selection decisions. J Anim Sci 81:2984–2988

    Google Scholar 

  • List G, Mirchandani P, Turnquist M, Zografos K (1991) Modeling and analysis for hazardous materials transportation: risk analysis, routing/scheduling and facility location. Transport Sci 25(2):100–114

    Article  Google Scholar 

  • Manfredo MR, Leuthold RM (1999) Market risk and the cattle feeding margin: an application of value-at-Risk. Agribusiness 17(3):333–353

    Article  Google Scholar 

  • Mansini R, Ogryczak W, Speranza M (2007) Conditional value at risk and related linear programming models for portfolio optimization. Ann Oper Res 152(1):227–256

    Article  Google Scholar 

  • Nune R, Murray-Tuite P (2007) Comparison of potential paths selected by a malicious entity with hazardous materials: minimization of time vs. minimization of distance. Proceedings of the 2007 winter simulation conference. Washington, DC. http://dl.acm.org/citation.cfm?doid=1351542.1351745

  • Nembhard D, White C III (1997) Applications of non-order-preserving path selection of hazmat routing. Transport Sci 31(3):262–271

    Article  Google Scholar 

  • Nocera J (2009) Risk mismanagement. The New York Times Magazine. http://www.nytimes.com/2009/01/04/magazine/04risk-t.html. Accessed 4 Jan 2009

  • Nozick L, List G, Turnquist M (1997) Integrated routing and scheduling in hazardous materials transportation. Transport Sci 31(3):200–215

    Article  Google Scholar 

  • Patel M, Horowitz A (1994) Optimal routing of hazardous materials considering risk of spill. Transport Res A 28(2):119–132

    Google Scholar 

  • Pflug G (2000) Probabilistic constrained optimization: methodology and applications. Kluwer Academic Publishers, New York

    Google Scholar 

  • ReVelle C, Cohon J, Shobrys D (1991) Simultaneous siting and routing in the disposal of hazardous wastes. Transport Sci 25(2):138

    Article  Google Scholar 

  • Robert Dahlgren CCL, Lawarre J (2003) Risk assessment in energy trading. IEEE Trans Power Syst 18(2):503–511

    Article  Google Scholar 

  • Rockafellar RT, Uryasev S (2000) Optimization of conditional value-at-risk. J Risk 2(3):21–42. http://www.thejournalofrisk.com/public/showPage.html?page=1491

    Google Scholar 

  • Rockafellar R, Uryasev S (2002) Conditional value-at-risk for general loss distributions. J Bank Finance 26(7):1443–1471

    Article  Google Scholar 

  • Saccomanno F, Chan A (1985) Economic evaluation of routing strategies for hazardous road shipments. Transport Res Rec 1020:12–18

    Google Scholar 

  • Sarykalin S, Serraino G, Uryasev S (2008) Value-at-risk vs. conditional value-at-risk in risk management and optimization. Tutorials Oper Res 270-294. https://www.informs.org/content/download/132735/1131225/file/Tutorials-2008-CD-titlepage.pdf

  • Sherali H, Brizendine L, Glickman T, Subramanian S (1997) Low probability–high consequence considerations in routing hazardous material shipments. Transport Sci 31(3):237–251

    Article  Google Scholar 

  • Sivakumar RA, Rajan B, Karwan M (1993) A network-based model for transporting extremely hazardous materials. Oper Res Lett 13(2):85–93

    Article  Google Scholar 

  • Sodhi MS (2005) Managing demand risk in tactical supply chain planning for a global consumer electronics company. Prod Oper Manag 14:69–79

    Article  Google Scholar 

  • Toumazis I, Kwon C (2012) Routing hazardous materials on time-dependent networks using conditional value-at-risk. Working paper

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Changhyun Kwon .

Editor information

Editors and Affiliations

Rights and permissions

Reprints and permissions

Copyright information

© 2013 Springer Science+Business Media New York

About this chapter

Cite this chapter

Toumazis, I., Kwon, C., Batta, R. (2013). Value-at-Risk and Conditional Value-at-Risk Minimization for Hazardous Materials Routing. In: Batta, R., Kwon, C. (eds) Handbook of OR/MS Models in Hazardous Materials Transportation. International Series in Operations Research & Management Science, vol 193. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-6794-6_5

Download citation

Publish with us

Policies and ethics