Example models

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Example models explaining VoseFunctions

DistributionObjectProperties.xls
Extremes.xls

VoseAggregateTranche.xls
VoseBinomialP.xls
VoseCholesky.xls
VoseCLTSum.xls
VoseCopula_Correlating
_With_copulas.xls
VoseCopulaData.xls
VoseCorrmat.xls

VoseCovCorr.xls
VoseDescription_And
_VoseParameters.xls
VoseDominance.xls
VoseEigenVectors.xls
VoseExpression.xls
VoseFrequency.xls
VoseFrequencyCumulA.xls
VoseFrequencyCumulD.xls
VoseIdentity.xls
VoseIntegrate.xls
VoseInterpolate.xls
VosejkProduct.xls
VosejkSum.xls
VosejProduct.xls
VosejSum.xls
VosejSumInf.xls
VoseKendallsTau.xls
VoseKendallsTau_and
_VoseSpearman.xls

VoseLLH.xls
VoseMeanExcessP_and_
VoseMeanExcessX.xls
VoseNBoot
_Bootstrap_Properties.xls
VosePoissonLambda.xls
VosePrinciple
_Principle_calculations.xls
VoseRankA.xls
VoseRankD.xls
VoseRollingStats.xls
VoseRunoff.xls
VoseSample.xls
VoseShift_VosePBounds
_and_VoseXBounds.xls
VoseShuffle.xls
VoseSortA.xls
VoseSortD.xls
VoseStopSum.xls
VoseThielU.xls
VoseValidCorrmat.xls

We offer a large number of example models (constructed in ModelRisk/Excel) that you can view and use as you see fit. The models cover an enormous range of techniques.

To open an example model, click the link marked with the '' icon. If you are presented a dialog similar to the one shown below, select 'open':

Important: it can occur in Windows XP that example model files open within this help file's window rather than in Microsoft Excel. To change this behavior, follow these instructions to set model files to open in Excel.

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	Techniques used
A portfolio optimization problem Topic link	Optimization, Copulas
A reservation management optimization problem Topic link	Optimization example
Aggregate_moments Topic link	Directly calculating the moments of an aggregate distribution Checking the accuracy of the Panjer or FFT aggregate algorithm VoseAggregateMoments
Basel II Topic link	Loan default Loss model
Bounded random walk Topic link
Capital required Topic link	Poisson counts Sum of random number of random variables Output statistics generation in spreadsheet Calculation of risk budget
Cascading_risks Topic link	Modeling correlated (cascading) risks Modeling risk events
Cards Topic link	Hypergeometric sample Numerical integration
Coins Topic link	Exercise in building a dynamic array
Combining_expert_opinions Topic link	Combining opinions of different experts VoseCombined
Computers in the basement Topic link	Exercise in building a dynamic array
Contagious extreme value distribution Topic link	Contagious extreme value model and comparison with simulation
COPPER Topic link	Number of errors to achieve a success Sum of resources expended to achieve success
Correlated insurance portfolio Topic link	Loss distribution for a number of policies with correlated aggregate loss distributions
Correlated risk portfolio Topic link	modeling correlated risks
Correlating interest and mortgage rates Topic link	modeling two correlated variables using the envelope method
Correlation using look-up tables Topic link	modeling correlation using a lookup table
Correlation_with_fitted_copula Topic link	Fitting a normal copula Correlating with copulas
Cost model Topic link	A very simple project cost model
Covariance and correlation Topic link	Calculates the approximate sum of correlated random variables using a covariance matrix.
Credit_risk_single_portfolio Topic link	Modeling credit risk for a single portfolio Aggregate Monte Carlo Aggregate FFT
Credit_risk_separated Topic link	modeling credit risk with separate exposure and loss fraction components
DistanceToNearestFire Topic link	Two ways of determining the distance between an individual and its nearest, or next nearest, etc. neighbour.
Election Topic link	Constructing a Dirichlet distribution Numerical integration
Estimate mean and stdev for Normal distribution when neither known Topic link 1 Topic link 2	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 Topic link	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 Topic link	A classical statistics method of estimating the standard deviation of a Normal distribution when the distributions mean is known.
Finally retired Topic link	Calculate the total worth of a retirement fund upon retirement.
Finite_market Topic link	Forecasting sales over time to a finite market.
Frechet Topic link	Generating a Frechet distribution
Gender Topic link	Bayesian inference Informed prior Hypergeometric sampling
Healtheffect Topic link	Number of samples required in a random sampling of a population to obtain a particular minimum set. Normal approximation to the NegBin
Hospital Topic link	Simple project duration model
Hospital_bed_days Topic link	Adding correlation in aggregate calculations Correlating partial sums
Hospital_bed_days_2 Topic link	Adding correlation in aggregate calculations Multivariate Normal copula
Hospital_bed_days_3 Topic link	Adding correlation in aggregate calculations Correlating partial sums using scaling variables
Hospital_bed_days_4 Topic link	Adding correlation in aggregate calculations Aggregate FFT method
Indepprob Topic link	Illustrating an incorrect way to use the Beta distribution to model variability in a Binomial probability
Integrated Risk Management Topic link	Sum of random number of random variables Numerical integration Insurance Hedging
Jacknife Topic link	Jacknife analysis
Joint_credit_ratings Topic link	Credit ratings Markov chain models
Lawyers Topic link	Comparing uncertain quantities Binomial estimation of p Numerical integration
Leading indicator Topic link	Model a time series based on a relationship with a leading indicator variable
Lifetime of a device Topic link	Reliability of a set of components
Marital status in 25 years Topic link	Modeling a Markov time series with time an integer > 1 unit with ModelRisk VoseMarkovMatrix VoseMarkovSample
Markov_tracking Topic link	Progressive dominance of the default state in a Markov time series
Market growth model Topic link	Exercise to allow you to try out various modeling techniques
Markov chain multinomial method Topic link	Multinomial method of performing a Markov Chain model
Markov chain multinomial method 2 Topic link	Multinomial method of performing a Markov Chain model with time an integer > 1 unit
MTTF Topic link	Bayesian inference, estimating MTTF Constructing posterior distribution for simulation
Multivariate hypergeometric Topic link	Construct a Multivariate Hypergeometric distribution
New competitors Topic link	Model sales where market is divided with new entry competitors. PERT distribution
New product sales
NPV of a capital investment Topic link	Exercise to allow you to try out various modeling techniques
One lightbulb Topic link	Number of random variables to reach a defined sum
Operational_risk Topic link	Capital allocation to cover operational risk under Basel II. Multivariate aggregate FFT
Pareto_extremes Topic link	Determination of extreme values for 10 000 independent random variables drawn from a Pareto(5,2) distribution.
People in a lift Topic link	Calculating (rather than simulating) the probability that a sum of random variables exceeds some target
Plane crashes2 Topic link	Poisson process with time log Sum of random number of random variables Insurance claim size
Poisson random walk Topic link	Poisson random walk with trend
Poisson_sales_with_competitor Topic link	Forecasting Poisson sales with new competitor entering the market.
Poisson series Topic link	Poisson random walk with trend and seasonality
Polya_regression Topic link	Pólya regression model fitted to data and projected three years into the future.
Polya_time_series Topic link	Similar to Poisson series but with randomness in the expected intensity
Premium calculations Topic link	Calculating the premium of an insurance policy using four different principles VosePrincipleEsscher VosePrincipleEV VosePrincipleRA VosePrincipleStdev
Power station pumps Topic link	modeling continuous random process
Probability of ruin Topic link	Estimating combined risk from several risk events Probability of exceeding some threshold Numerical integration
Project_schedule_1 Topic link	Typical project schedule model
Project_schedule_2 Topic link	Project schedule model Schedule risk modeled as additional duration
Project_schedule_3 Topic link	Project schedule model Schedule risk modeled as alternative duration
Projected cures Topic link	Time series with cyclical shock
Pylons Topic link	Exercise to allow you to try out various modeling techniques
Pylons correlated Topic link	Exercise to allow you to try out various modeling techniques Correlation matrix
Real option Topic link	Real option evaluation
Risk portfolio Topic link	modeling impact of correlated risks VoseRiskEvent function triangle distribution PERT distribution
Roof_of_office_block Topic link	Using triangle distributions to estimate project cost
Runoff1 Topic link	Run-off calculation VoseRunoff
Runoff2 Topic link	Run-off calculation VoseRunoff
Runoff3 Topic link	Run-off calculation VoseRunoff
Sales_with_maximum Topic link	Modeling sales where there is an uncertain maximum to the number of sales
Sales at the store Topic link	Poisson process Summing large random number of random variables using Central Limit Theorem
Sales projection for a finite market Topic link	Model the sales over a period where it is known that there is a finite market for the product.
Schedule model with risks Topic link	Project schedule modeling with risks
Silo Topic link	Simple project duration model
Simulating a variable risk Topic link	Two ways of simulating a risk event with a random impact
Stress and strength Topic link	Model to determine the probability that stress on a component exceeds its strength, and therefore causes it to fail
Ten lightbulbs Topic link	modeling a parallel renewal process
The weakest link Topic link	Extremes, Simulating probability
Tractors Topic link
Transaction failures Topic link	Estimating total cost of Poisson failures at different rates. Note this is a VC/RS/US model
Transition_matrix_large_t Topic link	Markov chain models
Treatment comparison Topic link	Comparison of several uncertain binomial probabilities Numerical integration
Turbine blade construction Topic link	Bayesian inference Numerical integration Hyperparameters Constructing posterior
Turbine blade simulation Topic link	Bayesian inference Numerical integration Hyperparameters Simulating posterior
TV_series_profits Topic link	VoseSumProduct
Using_the_VoseIntegrate_function Topic link	Numerical Integration.
VC RC US - 1 Topic link	Part 1 of a simple example of a VC/RC/US model: randomness R only
VC RC US - 2 Topic link	Part 2 of a simple example of a VC/RC/US model: randomness R and uncertainty U
VC RC US - 3 Topic link	Part 3 of a simple example of a VC/RC/US model: randomness R, uncertainty U and variability V
VC RS UL - 1 Topic link	Simple example of a VC/RS/UL model part 1: generating values for uncertain parameters
VOII Topic link	Value of information techniques.
Waiting under the clock Topic link	Simulation thinking Graphical illustration of model
Widgets Topic link	Binomial process Poisson process Simple MC simulation
Wine experts	Bayesian inference Binomial probability estimate Numerical integration Graphical presentation of model