References

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References used in this help file

Akaike, 1974.  A new look at the statistical model identification. IEEE Trans. Automat. Control. vAC-19. 716-723.  

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Artzner, P, Delbaen, F, Eber, J.-M. and Heath D. (1997) Thinking coherently'. RISK 10(11).

Bacon, R. W. (1993), A note on the use of the log-logistic functional form for modeling saturation effects. Oxford Bulletin of Economics and Statistics 55, 355-361.

Bartholomew MJ, Vose, DJ, Tollefson, LR and Curtis C. Travis CC (2005). 'A Linear Model for Managing the Risk of Antimicrobial Resistance Originating in Food Animals'. Risk Analysis 25(1).

Basel Committee on Banking Supervision (2003). Consultative Document: The New Basel Capital Accord, Bank of International Settlements, Basel.

Bayes, T. (1763). An Essay Towards Solving a Problem in the Doctrine of Chances. Philos. Trans. R. Soc. London 53, 370-418. Reprinted in Biometrica, (1958), 45 293-315.

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Cannon, R. M.  and Roe, R. T., (1982). Livestock Disease Surveys. A Field Manual for Veterinarians. Bureau of Resource Science, Department of Primary Industry. Australian Government Publishing Service, Canberra.

Chandra, M., Singpurwalla, N. D. and Stephens, M. A. (1981). Kolmogorov statistics for tests of fit for the extreme value and Weibull distribution. J. Am. Stat. Assoc. 76(375), 729-31.

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Efron, B. and Tibshirani, R.J. (1993). An introduction to the Bootstrap. Chapman & Hall, New York, NY.

Embrechts, P., Kluppelberg, C. and Mikosch, T., modeling Extremal Events for Insurance and Finance, Springer (1999).

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FAO/WHO (2003). Hazard characterization for pathogens in food and water: guidelines.(Microbiological risk assessment series ; no. 3) ISBN 92 4 156237 4 (WHO). ISBN 92 5 104 940 8 (FAO). ISSN 1726-5274

Farnum and Stanton (1987). Some Results Concerning the Estimation of Beta Distribution Parameters in PERT. J Operational Research Society 38(3) pp. 287-290

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Gelman, A., Carlin, J. B., Stern, H. S., and Rubin, D. B., (1995). Bayesian Data Analysis. Chapman & Hall, London.

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Gettinby, G.D., Sinclair C.D., Power D.M. and Brown R.A. (2004). 'An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000'. J  Business Finance & Accounting 31(5):607 - 646.

Glover, F., Laguna, M., and Martí, R. (2000) Fundamentals of Scatter Search and Path Relinking. Control and Cybernetics 39(3) 653-684

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Haimes, Y.Y. (1998). Risk Modeling, Assessment, and Management, J Wiley, NY

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Hald T, Vose D, Wegener HC and Koupeev T (2004). A Bayesian Approach to Quantify the Contribution of Animal-Food Sources to Human Salmonellosis. Risk Analysis 24(1). J Food Protection, 67(5) 980-992.

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Johnson, N.L., Kotz, K., and Kemp, A. D (1993) Univariate Discrete Distributions: J Wiley & Sons, New York.

Johnson, N.L., Kotz, K., and Balakrishnan, N., (1994). Continuous Univariate Distributions (Volume 1): J Wiley & Sons, New York.

Johnson, N.L., Kotz, K., and Balakrishnan, N., (1995). Continuous Univariate Distributions (Volume 2): J Wiley & Sons, New York.

Kahneman D and Tversky A (2000). Choices, Values and Frames: Cambridge University Press.

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Kotz S, Kozubowski T and Podgorski K (2001). The Laplace Distribution and Generalizations: A Revisit with Applications to Communications, Economics, Engineering, and Finance

Kozubowski TJ and Podgorski K (no date). Log-Laplace distributions. Document found here.

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Laplace, P. S. (1812). Theorie Analytique des Probabilites, Courcier, Paris. Reprinted in Oeuvres Completes de Laplace, 7, 1847. Gauthiers-Villars, Paris.

Law, A. M., and Kelton, W. D. (1991). Simulation modeling and Analysis : McGraw-Hill, New York.

Little, C. L., Adams, M. R., and Anderson W.A. (1994)., Application of a log-logistic model to describe the survival of Yersinia enterocolitica at sub-optimal pH and temperature. Intl J Food Microbiology 22, 63.

Madan D.B., Carr P.P. and Chang E.C. (1998). The Variance Gamma Process and Option Pricing. European Finance Review, 2: 79-105

Makridakis, S. and Wheelwright, S. C., (1989). Forecasting methods for management 5th ed, J Wiley & Sons, New York.

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Panjer, H.H. (1981). Recursive evaluation of a family of compound distributions. ASTIN Bulletin 12, 22-26.

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Panjer, H. H., Willmot, G. E. (1992): Insurance Risk Models. Society of Actuaries, Schaumburg.

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Press, W. H., Flannery, B. P., Teukolsky, S. A., and Vetterling, W. T. (1996). Numerical Recipes in C: The Art of Scientific Computing: 2nd Ed. New York: Cambridge University Press.

Randin, R.L. (1997) Optimization in Operations Research, Prentice Hall.

Rai, S. N., Krewski, D., and Bartlett, S. (1996). A general Framework for the Analysis of Uncertainty and Variability in Risk assessment, Hum. Ecol. Risk Assess. 2(4) 972-989.

Ripley, B. D. (1987). Stochastic Simulation. New York: John Wiley & Sons.

Robertson, J.P. (1992). The computation of aggregate loss distributions. Proceedings of the Casualty Actuarial Society - Arlington,Virginia, 57-133

Rubinstein, R., (1981) Simulation and Monte Carlo Methods, John Wiley.

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Teunis PFM, Havelaar AH (2000). 'The beta-Poisson Dose-Response Model Is Not a Single-Hit Model', Risk Analysis 20(4):513-520

Van der Sluijs, J.P., Risbey, J.S. and Ravetz, J. (2005).  Uncertainty Assessment of VOC Emissions from Paint in the Netherlands Using the Nusap System, Environmental Monitoring and Assessment (105), 229-259.

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Bibliography

Here is a list of books from our library that we particularly like, organised by topical area.

Simulation

Evans JR and Olson L (1998). Introduction to Simulation and Risk Analysis. Prentice Hall, NJ

Law AM and Kelton WD (2000). Simulation Modeling and Analysis, 3rd ed. McGraw-Hill.

Morgan, MG and Henrion M (1990). Uncertainty. Cambridge.

Vose D (2000). Risk analysis, 2nd ed. J Wiley, Chichester, UK.

Business risk and decision analysis

Clemen RT and Reilly T (2001). Making Hard Decisions. Duxbury, CA.

Goodwin P and Wright G (1998). Decision Analysis for Management Judgment. Wiley, NY.

Jensen FV (2001). Bayesian Networks and Decision Graphs. Springer, NY

Koller G (1999). Risk Assessment and Decision Making in Business and Industry. CRC, FL.

Raiffa H and Schlaiffer R (2000) Applied Statistical Decision Theory. Wiley Classics, NY

Schuyler J (2001). Risk and Decision Analysis in Projects. PMI.

Vose D (2000). Risk analysis, 2nd ed. J Wiley, Chichester, UK.

Extreme value theory

Gumbel, E. J., (1958). Statistics of Extremes, Columbia University Press.

Embrechts P, Klupperberg C and Mikosch T (1999). modeling Extreme Events for Insurance and Finance. Springer.

Insurance

Embrechts P, Klupperberg C and Mikosch T (1999). modeling Extreme Events for Insurance and Finance. Springer.

Klugman SA, Panjer HH and Willmot GE (1998). Loss Models: from data to decisions. Wiley, NY.

Rolski T et al (1999). Stochastic Processes for Insurance and Finance. Wiley.

Financial risk

Brealey RM and Myers SC (2000). Principles of Corporate Finance, 6th ed. McGraw Hill

Cox, J.C. and Rubinstein, M. (1985) Options Markets. Prentice Hall.

Cox J, Ross S and Rubenstein M (1979). 'Option pricing: a Simplified Approach.' J Financial Economics 7 229-263.

Dixit, A., and Pindyck, R. 1994. Investment under Uncertainty. Princeton University Press, Princeton, NJ.

Dunis C (1996). Forecasting Financial Markets. Wiley, NY.

Hull JC (1993). Options, Futures, and other Derivative Securities.  Prentice Hall.

Wilmott P (2001). Paul Wilmott Introduces Quantitative Finance, John Wiley & Sons Ltd., West Sussex, England.

Wilmott P (1998). The Theory and Practice of Financial Engineering, John Wiley and Sons

Wilmott P (1998). Derivatives. J Wiley, Chichester, UK

The Bootstrap

Chernick, MR (1999). Bootstrap Methods - a practical guide. Wiley Interscience, NY.

Davison AC and Hinkley DV (1997). Bootstrap Methods and their Applications. Cambridge, UK.

Efron B and Tibshirani RJ (). An Introduction to the Bootstrap. Chapman and Hall.

General statistics and probability theory

Barnett V (1999). Comparative Statistical Inference, 3rd ed. Wiley.

Casella, G., and Berger, R. L. (1990). Statistical Inference, Brooks/Cole Pub. Co.

Evans M, Hastings N and Peacock B (1993). Statistical Distributions. Wiley.

Feller W (1996). An Introduction to Probability Theory and its Applications, 2nd ed. J Wiley.

Groebner, D. E. and Shannon, P. F., (1993). Business statistics: a decision-making approach. MacMillan, NY.

Levin, R. I. and Rubin, D. S., (1994) Statistics for Management, Prentice Hall, Inc, NJ.

Lipschutz, S., (1974). Probability, Schaum's outline series, McGraw Hill.

McClave JT, Dietrich FH, and Sincich T (1997). Statistics, 7th ed Prentice Hall

Rozanov YA (1969). Probability Theory: a concise course. Dover.

Ross SM (1976). A First Course in Probability. Macmillan, NY.

Ross SM (1997). Probability Models, 6th ed. Academic Press.

Student (W.S. Gosset) (1908) The probable error of a mean. Biometrika 6(1):1-25

Taylor, HM and Karlin, S (1998). An Introduction to Stochastic Modeling, 3rd ed. Academic Press, London.

Project risk analysis

Chapman C and Ward S (1997). Project Risk Management. Wiley, Chichester, UK.

Grey, S., (1995). Practical Risk Assessment for Project Management, J Wiley & Sons.

Godfrey, P. et al. (1996). Control of Risk, CIRIA

Simon, P (Ed) (1997). Project Risk Analysis and Management, APM, Norwich, UK.

Reliability theory

Bentley JP (1999). Reliability and Quality Engineering. Addison-Wesley, Harlow, UK.

Kottegoda NT and Rosso R (1998). Statistics, Probability and reliability for Civil and Environmental Engineers. McGraw-Hill.

O'Connor, P. D. T., (1994). Practical reliability engineering, 3rd ed, J Wiley & Sons.

Queueing theory

Bunday BD (1996). An Introduction to Queueing Theory. Arnold, London.

Bayesian statistics

Berry DA and Stamgl DK (1996). Bayesian Biostatistics. Dekker, NY

Carlin BP and Louis TA (1996). Bayes and Empirical Bayes methods for Data Analysis. Chapman and Hall.

Gelman A et al (1995). Bayesian Data Analysis. Chapman and Hall.

Jensen FV (2001). Bayesian Networks and Decision Graphs. Springer, NY

Pole A, West M and Harrison J (1999). Applied Bayesian Forecasting and Time Series Analysis. CRC, FL.

Press SJ (1989). Bayesian Statistics: Principles, Models and Applications. J Wiley

Vose D (2000). Risk analysis, 2nd ed. J Wiley, Chichester, UK.

Forecasting

Dunis C (1996). Forecasting Financial Markets. Wiley, NY.

Newbold, P., and Bos, T., (1994). Introductory Business and Economic Forecasting, 2nd ed, South Western Publishing, Cincinnati, Ohio.

Pole A, West M and Harrison J (1999). Applied Bayesian Forecasting and Time Series Analysis. CRC, FL.

General risk analysis

Newendorp, P, (1975). Decision Analysis for Petroleum Exploration, Penwell, Tulsa.

Olkin, I., Glaser, L. J., and Derman, C., (1980). Probability Models and Applications, MacMillan, New York.

Patel, J.K., Kapadia, C.H., and Owen, D.B., (1976). Handbook of statistical distributions, Marcel Decker, Inc.

Vose D (2000). Risk analysis, 2nd ed. J Wiley, Chichester, UK.

Epidemiology

Clayton D and Hills M (1998). Statistical Models in Epidemiology. Oxford.

Diekmann O, Heesterbeek JAP (2000). Mathematical Epidemiology of Infectious Diseases, J Wiley, Chichester.

Dohoo I, Martin W and Stryhn H (2003). Veterinary Epidemiological Research. U. Prince Edward Island.

Pearl J (2000). Causality: models, reasoning and inference. Cambridge.

Shipley W (2000). Cause and Correlation in Biology. Cambridge.

Torrence ME and Isaacson RE (2003). Microbial Food Safety in Animal Agriculture. Iowa State Press.

Fun

Bennett DJ (1998). Randomness. Harvard.

Laplace, Marquis de (1951). A Philosophical Essay on Probabilities. Dover.

Peterson I (1998). The Jungles of Randomness; a mathematical safari. Wiley.

 

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