Stochastic modelling of risk control operations for recovery of systems
by Constantinos T. Artikis, Panagiotis T. Artikis
International Journal of Applied Systemic Studies (IJASS), Vol. 2, No. 4, 2009

Abstract: The paper uses a discrete random variable and two sequences of nonnegative random variables formulating a stochastic model which is the maximum of a random number of stochastic multiplicative models. Sufficient conditions for the distribution function of the model are established. The paper also provides applications of this model assessing certain risk control operations applied to a random number of systems which have been affected by a major risk. Moreover, the paper makes clear that a concept of extreme value theory can contribute to the improvement of the applicability of risk management in a class of systems.

Online publication date: Tue, 08-Sep-2009

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