Example models

See also: Useful Excel functions, ModelRisk functions and windows


Apart from the models listed below, a number of example models explaining specific ModelRisk functions are provided. These are listed on the right and linked to from that function's topic (e.g. VoseEigenValues).

On your hard drive, the example model files are located in the Models subfolder of your ModelRisk folder (usually this is c:\Program Files\Vose Software\ModelRisk\Models).

Example models explaining risk analysis techniques

The table below lists the example models included. All models are unprotected to allow you to use the code for your own problems.

When making use of these example models, we would consider it a kindness if you were to reference Help file for ModelRisk in papers and reports.


 See the References topic for guidelines on referencing.
 


Model name

 

Topic link

ModelRisk Edition required

Techniques used (ModelRisk edition needed)

A portfolio optimization problem

 

Link

Industrial

Optimization, Copulas.

A reservation management optimization problem

Link

Professional or Industrial

Optimization example.

Aggregate CLT

Link

Professional or Industrial

 

Aggregate moments

 

Link

Industrial

Directly calculating the moments of an aggregate distribution

Checking the accuracy of the Panjer or FFT aggregate algorithm.

VoseAggregateMoments

Aggregate Correlated Simulation

Link

Any

 

Arsenic sweets

Link

Any

 

Asphalt

Link

Professional or Industrial

 

Basel II

 

Link

Any

Loan default.

Loss model.

BMA

Link

Industrial

 

Bounded random walk

 

Link

Any

 

Building a house

Link

Any

 
Capital required

Link

 

Any

Poisson counts

Sum of random number of random variables

Output statistics generation in spreadsheet.

Calculation of risk budget.

Cards

 

Link

Any

Hypergeometric sample

Numerical integration

Cascading risks

Link

 

Professional or Industrial

Modeling correlated (cascading) risk.

Modeling risk events.

Check aggregate accuracy

Link

Industrial

 

CLT risk portfolio approximation

Link

Professional or Industrial

 

Clumps of cysts

Link

Any

 

Coins

 

Link

Any

Exercise in building a dynamic array.

Combining expert opinions

Link

 

Professional or Industrial

Combining opinions of different experts.

VoseCombined

Computers in the basement

 

Link

Any

Exercise in building a dynamic array.

Contagious extreme value distribution

 

Link

Professional or Industrial

Contagious extreme value model and comparison with simulation.

COPPER

 

Link

Any

Number of errors to achieve a success.

Sum of resources expended to achieve success.

Correlated insurance portfolio

 

Link

Industrial

Loss distribution for a number of policies with correlated aggregate loss distributions.

Correlated risk portfolio

 

Link

Professional or Industrial

Modeling correlated risks.

Correlating interest and mortgage rates

 

Link

Any

Modeling two correlated variables using the envelope method.

Correlation using look-up tables

 

Link

Any

Modeling correlation using a lookup table.

Correlation with fitted copula

 

Link

Professional or Industrial

Fitting a normal copula.

Correlating with copulas.

Cost and schedule

Link

Any

 

Cost model

 

Link

Any

A very simple project cost model.

Covariance and correlation

 

Link

Any

Calculates the approximate sum of correlated random variables using a covariance matrix.

Credit risk separated

 

Link

Professional or Industrial

Modeling credit risk with separate exposure and loss fraction components.

Credit risk single portfolio

 

Link

Industrial

Modeling credit risk for a single portfolio.

Aggregate Monte Carlo

Aggregate FFT

Credit risk without MR

Link

Any

 

Cysts in water

Link

Any

 

Database example model

Link

Industrial

 

Distance To Nearest Fire

 

Link

Any

Two ways of determining the distance between an individual and its nearest, or next nearest, etc. neighbour.

Distribution Object Properties

Link

Industrial

 

Distribution Of Particles

Link

Any

 

Election

 

Link

Professional or Industrial

Constructing a Dirichlet distribution.

Numerical integration

Error message comparison

Link

Professional or Industrial

 

Estimate mean and stdev for Normal distribution when neither known

 

Link 1
Link 2

Any

A classical statistics method of estimating the mean and the standard deviation for Normal distribution when neither are known.

Estimate mean for Normal distribution when stdev is known

 

Link

Any

A classical statistics method of estimating the mean for Normal distribution when the distributions standard deviation is known.

Estimate stdev for Normal distribution when mean is known

 

Link

Any

A classical statistics method of estimating the standard deviation of a Normal distribution when the distributions mean is known.

Exchange rate

Link

Any

 

Extremes

Link

Industrial

 

Finally retired

 

Link

Any

Calculate the total worth of a retirement fund upon retirement.

Finite market

 

Link

Any

Forecasting sales over time to a finite market.

Fixed and Risked Model

Link

Professional or Industrial

 

Floods

Link

Any

 

Frechet

 

Link

Any

Generating a Frechet distribution.

Gender

 

Link

Any

Bayesian inference

Informed prior

Hypergeometric sampling

Healtheffect

 

Link

Professional or Industrial

Number of samples required in a random sampling of a population to obtain a particular minimum set.

Normal approximation to the NegBin

Hospital

 

Link

Any

Simple project duration model.

Hospital bed days

 

Link

Industrial

Adding correlation in aggregate calculations

Correlating partial sums.

Hospital bed days_2

 

Link

Professional or Industrial

Adding correlation in aggregate calculations

Multivariate Normal copula

Hospital_bed_days_3

 

Link

Professional or Industrial

Adding correlation in aggregate calculations

Correlating partial sums using scaling variables.

Hospital_bed_days_4

 

Link

Industrial

Adding correlation in aggregate calculations

Aggregate FFT method

Indepprob

 

Link

Professional or Industrial

Illustrating an incorrect way to use the Beta distribution to model variability in a Binomial probability.

Inputs Outputs

Link

Any

 

Integrated Risk Management

 

Link

Professional or Industrial

Sum of random number of random variables

Numerical integration

Insurance.

Hedging.

Jacknife

 

Link

Any

Jacknife analysis

Joint credit ratings

 

Link

Professional or Industrial

Credit ratings

Markov chain models


Lawyers

 

Link

Professional or Industrial

Comparing uncertain quantities.

Binomial estimation of p

Numerical integration

Leading indicator

 

Link

Any

Model a time series based on a relationship with a leading indicator variable.

Lifetime of a device

 

Link

Any

Reliability of a set of components.

Lognormal random walk

Link

Any

 

Marital status in 25 years

 

Link

Professional or Industrial

Modeling a Markov time series with time an integer > 1 unit with ModelRisk.

VoseMarkovMatrix

VoseMarkovSample

Market growth model

 

Link

Any

Exercise to allow you to try out various modeling techniques.

Market Size Estimation

Link

Any

 
Markov chain multinomial method

 

Link

Professional or Industrial

Multinomial method of performing a Markov Chain model.

Markov chain multinomial method 2

 

Link

Professional or Industrial

Multinomial method of performing a Markov Chain model with time an integer > 1 unit.

Markov tracking

Link

Professional or Industrial

Progressive dominance of the default state in a Markov time series.

Mean value comparison

Link

Industrial

 

Missile2

Link

Industrial

 

Missile3

Link

Industrial

 

Missile

Link

Industrial

 

MTTF

 

Link

Professional or Industrial

Bayesian inference, estimating MTTF.

Constructing posterior distribution for simulation.

Multivariate hypergeometric

 

Link

Professional or Industrial

Construct a Multivariate Hypergeometric distribution.


New competitors

 

Link

Any

Model sales where market is divided with new entry competitors.

PERT distribution

New product sales

Link

Professional or Industrial

 

NPV of a capital investment

 

Link

Professional or Industrial

Exercise to allow you to try out various modeling techniques.

Offshore Oil Platform

Link

Any

 

One lightbulb

 

Link

Professional or Industrial

Number of random variables to reach a defined sum.

Operational risk

 

Link

Industrial

Capital allocation to cover operational risk under Basel II.

Multivariate aggregate FFT

Optimization example model

Link

Professional or Industrial

 

Pareto extremes

 

Link

Professional or Industrial

Determination of extreme values for 10 000 independent random variables drawn from a Pareto(5,2) distribution.

Particles in a volume

Link

Any

 

Pats

Link

Any

 

People in a lift

 

Link

Professional or Industrial

Calculating (rather than simulating) the probability that a sum of random variables exceeds some target.

Plane crashes1

Link

Professional or Industrial

 

Plane crashes2

 

Link

Any

Poisson process with time log.

Sum of random number of random variables

Insurance claim size.

Poisson random walk

 

Link

Any

Poisson random walk with trend.

Poisson sales with competitor

 

Link

Any

Forecasting Poisson sales with new competitor entering the market.

Poisson series

 

Link

Any

Poisson random walk with trend and seasonality.

Polya regression

 

Link

Professional or Industrial

Pólya regression model fitted to data and projected three years into the future.

Polya time series

 

Link

Any

Similar to Poisson series but with randomness in the  expected intensity image405.gif

Power units

Link

Any

 

Power station pumps

 

Link

Any

Modeling continuous random process.

Premium calculations

 

Link

Industrial

Calculating the premium of an insurance policy using four different principles

VosePrincipleEsscher

VosePrincipleEV

VosePrincipleRA

VosePrincipleStdev

Prevalence estimate for imperfect test

Link

Professional or Industrial

 

Probability of ruin

 

Link

Any

Estimating combined risk from several risk events.

Probability of exceeding some threshold.

Numerical integration

Project schedule 1

 

Link

Any

Typical project schedule model.

Project schedule 2

 

Link

Any

Project schedule model.

Schedule risk modeled as additional duration.

Project schedule 3

 

Link

Any

Project schedule model.

Schedule risk modeled as alternative duration.

Projected cures

 

Link

Any

Time series with cyclical shock.

Pylons

 

Link

Any

Exercise to allow you to try out various modeling techniques.

Pylons correlated

 

Link

Any

Exercise to allow you to try out various modeling techniques.

Correlation matrix

Raw egg

Link

Industrial

 

Real option

 

Link

Professional or Industrial

Real option evaluation.

Recursive formulae

Link

Any

 

Regression Bootstrap X Y random using INDEX

Link

Any

 

Regression Bootstrap X Y random using OFFSET

Link

Any

 

Regression Bootstrap X Y random using VLOOKUP

Link

Any

 

Risk portfolio

 

Link

Professional or Industrial

Modeling impact of correlated risks.

VoseRiskEvent function.

Triangle distribution

PERT distribution

Roof of office block

 

Link

Any

Using triangle distributions to estimate project cost.

Runoff1

 

Link

Industrial

Run-off calculation.

VoseRunoff

Runoff2

 

Link

Industrial

Run-off calculation.

VoseRunoff

Runoff3

 

Link

Industrial

Run-off calculation.

VoseRunoff

Sales at the store

 

Link

Professional or Industrial

Poisson process

Summing large random number of random variables using Central Limit Theorem

Sales projection for a finite market

 

Link

Any

Model the sales over a period where it is known that there is a finite market for the product.

Sales with maximum

 

Link

Any

Modeling sales where there is an uncertain maximum to the number of sales.

Schedule model with risks

 

Link

Any

Project schedule modeling with risks.

Seasonal Poisson random walk

Link

Any

 

Share price movement

Link

Professional or Industrial

 

Silo

 

Link

Any

Simple project duration model.

Simulating a variable risk

 

Link

Any

Two ways of simulating a risk event with a random impact.

Stress and strength

 

Link

Any

Model to determine the probability that stress on a component exceeds its strength, and therefore causes it to fail.

Ten lightbulbs

Link

Professional or Industrial

Modeling a parallel renewal process.

The weakest link

 

Link

Professional or Industrial

Extremes, Simulating probability.

Time Empirical Fit

Link

Professional or Industrial

 

Tractors

Link

Any

Poisson distribution

Transaction failures

Link

Any

Estimating total cost of Poisson failures at different rates. Note this is a VC/RS/US model.

Transition matrix large t

Link

Professional or Industrial

Markov chain models

Treatment comparison

 

Link

Any

Comparison of several uncertain binomial probabilities.

Numerical integration

Turbine blade construction

 

Link

Professional or Industrial

Bayesian inference

Numerical integration

Hyperparameters

Constructing posterior

Turbine blade simulation

 

Link

Any

Bayesian inference

Numerical integration

Hyperparameters

Simulating posterior

Turbine blade construction

Link

Professional or Industrial

 

TV series profits

 

Link

Professional or Industrial

VoseSumProduct

Using the VoseIntegrate function
 

Link

Industrial

Numerical Integration.

VC RC US - 1

 

Link

Professional or Industrial

Part 1 of a simple example of a VC/RC/US model: randomness R only.

VC RC US - 2

 

Link

Professional or Industrial

Part 2 of a simple example of a VC/RC/US model: randomness R and uncertainty U
VC RC US - 3

 

Link

Professional or Industrial

Part 3 of a simple example of a VC/RC/US model: randomness R, uncertainty U and variability V
VC RS UL - 1

 

Link

Any

Simple example of a VC/RS/UL model part 1: generating values for uncertain parameters.

VOII

Link

Professional or Industrial

Numerical integration
VoseAggregateTranche

Link

Industrial

 

1Excel_icon.gifVoseOptimalFit and related functions

Link

Professional or Industrial

 

VoseBinomialP

Link

Professional or Industrial

 

VoseCholesky

Link

Industrial

 

VoseCLTSum

Link

Professional or Industrial

 

1Excel_icon.gifVoseCopulaOptimalFit and related functions

Link

Professional or Industrial

 

VoseCopula Correlating with copulas

Link

Professional or Industrial

 

VoseCopulaData

Link

Professional or Industrial

 

VoseCopulaDataSeries

Link

Professional or Industrial

 

VoseCorrmat

Link

Professional or Industrial

 

VoseCovCorr

Link

Professional or Industrial

 

VoseDescription and VoseParameters

Link

Industrial

 

VoseDominance

Link

Professional or Industrial

 

VoseEigenValues

Link

Industrial

 

VoseEigenVectors

Link

Industrial

 

VoseExpression

Link

Professional or Industrial

 

VoseFrequency

Link

Professional or Industrial

 

VoseFrequencyCumulA

Link

Professional or Industrial

 

VoseFrequencyCumulD

Link

Professional or Industrial

 

VoseIdentity

Link

Professional or Industrial

 

VoseIntegrate

Link

Industrial

 

VoseInterpolate

Link

Industrial

 

VosejkProduct

Link

Industrial

 

VosejkSum

Link

Industrial

 

VosejProduct

Link

Industrial

 

VosejSum

Link

Industrial

 

VosejSumInf

Link

Industrial

 

VoseKendallsTau and VoseSpearman

Link

Industrial

 

VoseKendallsTau

Link

Industrial

 

VoseLLH

Link

Professional or Industrial

 

VoseMeanExcessP and VoseMeanExcessX

Link

Industrial

 

VoseNBoot Bootstrap Properties

Link

Professional or Industrial

 

VoseODE

Link

Industrial

 

VoseOgive1 and VoseOgive2

Link

Professional or Industrial

 

VosePoissonLambda

Link

Professional or Industrial

 

VosePrinciple Principle calculations

Link

Industrial

 

VoseRankA

Link

Professional or Industrial

 

VoseRankD

Link

Professional or Industrial

 

VoseRolling Stats

Link

Professional or Industrial

 

VoseRunoff

Link

Industrial

 

VoseSample

Link

Professional or Industrial

 

VoseShift, VosePBounds and VoseXBounds

Link

Professional or Industrial

 

VoseShuffle

Link

Professional or Industrial

 

VoseSimXxxx

Link

Professional or Industrial

 

VoseSortA

Link

Professional or Industrial

 

VoseSortD

Link

Professional or Industrial

 

VoseStopSum

Link

Professional or Industrial

 

VoseThielU

Link

Professional or Industrial

 

1Excel_icon.gifVoseTimeOptimalFit and related functions

Link

Professional or Industrial

 

VoseValidCorrmat

Link

Professional or Industrial

 

VS RS US - 1

Link

Any

 

VS RS US - 2

Link

Any

 

Waiting under the clock

Link

Any

 

Weibull

Link

Any

 

Widgets

 

Link

Any

Binomial process

Poisson process

Simple MC simulation

Wine experts

Link

Any

Bayesian inference

Binomial probability estimate

Numerical integration

Graphical presentation of model

Wine problem

Link

Any