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International Conference on Analytical and Computational Methods in Probability Theory

ACMPT 2017: Analytical and Computational Methods in Probability Theory pp 251–264Cite as

Asymptotic Behavior of Reliability Function for Multidimensional Aggregated Weibull Type Reliability Indices

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Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 10684))

Abstract

We derive asymptotic approximation of high risk probability (ruin probability) for multidimensional aggregated reliability index which is a linear combination of single independent indexes, whose reliability functions (distribution tails) behave like Weibull tails.

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References

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Author information

Authors and Affiliations

  1. Lausanne University, Dorigny, 1015, Lausanne, Switzerland

    Julia Farkas & Enkelejd Hashorva

  2. Lomonosov Moscow State University, Leninskie Gory 1, Moscow, 119991, Russia

    Vladimir I. Piterbarg

Authors
  1. Julia Farkas
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  2. Enkelejd Hashorva
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  3. Vladimir I. Piterbarg
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Corresponding author

Correspondence to Vladimir I. Piterbarg .

Editor information

Editors and Affiliations

  1. Department of Applied Probability and Informatics, RUDN University, Moscow, Russia

    Vladimir V. Rykov

  2. City University of Hong Kong, Hong Kong, Hong Kong

    Nozer D. Singpurwalla

  3. Steklov Mathematical Institute of Russian Academy of Sciences, Moscow, Russia

    Andrey M. Zubkov

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Farkas, J., Hashorva, E., Piterbarg, V.I. (2017). Asymptotic Behavior of Reliability Function for Multidimensional Aggregated Weibull Type Reliability Indices. In: Rykov, V., Singpurwalla, N., Zubkov, A. (eds) Analytical and Computational Methods in Probability Theory. ACMPT 2017. Lecture Notes in Computer Science(), vol 10684. Springer, Cham. https://doi.org/10.1007/978-3-319-71504-9_22

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  • DOI: https://doi.org/10.1007/978-3-319-71504-9_22

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-71503-2

  • Online ISBN: 978-3-319-71504-9

  • eBook Packages: Computer ScienceComputer Science (R0)

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