A novel model based on Extended Monte Carlo simulation for investigating the effect of co-occurrence of risks considering utility function.

Document Type : Research Paper

Authors

Faculty of Industrial and Systems Engineering, Tarbiat Modares University, Tehran, Iran

Abstract

Risk assessment is a part of risk management. There are different techniques for risk assessment. Monte Carlo simulation (MCS) is one of the quantitative methods for risk assessment. Extended MCS tried to solve the weakness of classic Monte Carlo simulation through using rotary algorithm. But in the real world, projects face with different risks simultaneously. Co-occurrence of risks cause to exacerbates or diminishes the effects of each other. In this paper, the effect of occurrence of other risks on one risk in each iteration is investigated and finally the utility function is calculated by considering co-occurrence of risks and rotary algorithm. The proposed model tested on petrochemical construction project data. In this project, six risks such as inflation rate, labour, temperature, rain, cost and time are identified through experts’ opinion. The results show that the utility function become closer to reality by considering the co-occurrence of risks.

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References

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Journal of Industrial and Systems Engineering
Volume 14, Issue 4 - Serial Number 4
November 2022
Pages 270-278

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History

  • Receive Date: 03 March 2023
  • Revise Date: 21 March 2023
  • Accept Date: 11 April 2023

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