相关论文: On competing risk and degradation processes

Survivorship analysis allows to statistically analyze situations that can be modeled as waiting times to an event. These waiting times are characterized by the cumulative hazard rate, which can be estimated by the Nelson-Aalen estimator or…

Many studies in economics deal with the non-reliability cost to assess insurance fees or investment analyses, but none takes into consideration the mechanical aspect of reliability analysis. Other studies in mechanics give some tools and…

Multi-period measures of risk account for the path that the value of an investment portfolio takes. In the context of probabilistic risk measures, the focus has traditionally been on the magnitude of investment loss and not on the dimension…

Failure times of a machinery cannot always be assumed independent and identically distributed, e.g. if after reparations the machinery is not restored to a same-as-new condition. Framed within the renewal processes approach, a…

Time to event outcomes are often evaluated on the hazard scale, but interpreting hazards may be difficult. Recently, there has been concern in the causal inference literature that hazards actually have a built in selection-effect that…

Credit risk assessment is a crucial aspect of financial decision-making, enabling institutions to predict the likelihood of default and make informed lending decisions. Two prominent methodologies in credit risk modeling are logistic…

Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…

We discuss the construction of component importance measures for binary coherent reliability systems from known stochastic dependence measures by measuring the dependence between system and component failures. We treat both the…

Capabilities (whether object or reference capabilities) are fundamentally tools to restrict effects. Thus static capabilities (object or reference) and effect systems take different technical machinery to the same core problem of statically…

Statistical inferential results generally come with a measure of reliability for decision-making purposes. For a policy implementer, the value of implementing published policy research depends critically upon this reliability. For a policy…

Optimization of decision problems in stochastic environments is usually concerned with maximizing the probability of achieving the goal and minimizing the expected episode length. For interacting agents in time-critical applications,…

This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…

The storage effect is a general explanation for coexistence in a variable environment. The generality of the storage effect is both a strength - it can be quantified in many systems - and a challenge - there is not a clear relationship…

We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market;…

A common problem in formulating models for the relative risk and risk difference is the variation dependence between these parameters and the baseline risk, which is a nuisance model. We address this problem by proposing the conditional log…

This paper presents a probabilistic model for reasoning about the state of a system as it changes over time, both due to exogenous and endogenous influences. Our target domain is a class of medical prediction problems that are neither so…

Aiming for accurate estimation of system reliability of load-sharing systems, a flexible model for such systems is constructed by approximating the cumulative hazard functions of component lifetimes using piecewise linear functions. The…

In this paper, a new reliability model has been developed for a single system degrading stochastically which experiences soft and hard failure. Soft failure occurs when the physical deterioration level of the system is greater than a…

Hazard ratios are often used to evaluate time to event outcomes, but they may be hard to interpret. A particular issue arise because hazards are typically estimated conditional on survival, i.e.\ on left truncated samples. Then, hazard…

This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under uncertainty. A relationship between risk envelopes and regret envelopes is established by…