Abstract

In the Netherlands, probabilistic life cycle cash flow forecasting for infrastructures has gained attention in the past decennium. Frequencies, volume and unit prices of life cycle activities are treated as uncertainty variables for which an expert-based triangular distribution is assumed. The current research observes the absence of time-variant variables typical for infrastructure life cycles among which price (de-)escalation. Moreover, previous research has shown that price (de-)escalation and its uncertainty should not be ignored as it may lead to over or underestimation of costs, especially for public sector organisations which use low discount rates. For that reason, the current research has searched for a more data-driven approach to include price (de-)escalation and its uncertainty by adopting a price forecasting method from the financial domain, a Geometric Brownian Motion. The uncertainty variables drift and volatility are obtained from publicly available price indices. This approach is easily included in the current practice for probabilistic cost forecasting which is demonstrated on a case study. The case study shows that ignoring price increases may lead to an underestimation of total discounted costs of 13%. From an academic perspective, the current research advocates inclusion of price uncertainty in multi-objective optimisation modelling of infrastructure life cycle activities.

摘要

在荷兰，基础设施的概率生命周期现金流预测在过去十年中受到关注。生命周期活动的频率、数量和单位价格被视为不确定性变量，假设基于专家的三角分布。当前的研究观察到缺乏典型的基础设施生命周期的时变变量，其中价格（降）价。此外，先前的研究表明，不应忽视价格（降）价及其不确定性，因为它可能导致成本的高估或低估，尤其是对于使用低贴现率的公共部门组织。是因为，当前的研究通过采用金融领域的价格预测方法，即几何布朗运动，寻找一种更加数据驱动的方法，以包括价格（降）升级及其不确定性。不确定性变量漂移和波动率是从公开可用的价格指数中获得的。这种方法很容易包含在当前的概率成本预测实践中，这在案例研究中得到了证明。案例研究表明，忽略价格上涨可能会导致总贴现成本被低估 13%。从学术角度来看，目前的研究主张在基础设施生命周期活动的多目标优化建模中包含价格不确定性。不确定性变量漂移和波动率是从公开可用的价格指数中获得的。这种方法很容易包含在当前的概率成本预测实践中，这在案例研究中得到了证明。案例研究表明，忽略价格上涨可能会导致总贴现成本被低估 13%。从学术角度来看，目前的研究主张在基础设施生命周期活动的多目标优化建模中包含价格不确定性。不确定性变量漂移和波动率是从公开可用的价格指数中获得的。这种方法很容易包含在当前的概率成本预测实践中，这在案例研究中得到了证明。案例研究表明，忽略价格上涨可能会导致总贴现成本被低估 13%。从学术角度来看，目前的研究主张在基础设施生命周期活动的多目标优化建模中包含价格不确定性。