Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153654 | Statistics & Probability Letters | 2011 | 6 Pages |
Abstract
Extreme shock models have been introduced in Gut and Hüsler (1999) to study systems that at random times are subject to a shock of random magnitude. These systems break down when the shock overcomes a given resistance level.In this paper we propose an alternative approach to extreme shock models using reinforced urn processes. As a consequence of this we are able to look at the same problem under a Bayesian nonparametric perspective, providing the predictive distribution of systems’ defaults.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Pasquale Cirillo, Jürg Hüsler,