Using copulas to model dependence in simulation risk assessment

ASME International Mechanical Engineering Congress and Exposition, Proceedings

Volumn 14, Issue , 2008, Pages 81-89

  Kelly, Dana L ^a  

^a IDAHO NATIONAL LABORATORY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BAYESIAN NETWORKS; COMPUTER SIMULATION; MATHEMATICAL MODELS; PROBABILITY; RELIABILITY THEORY; SOFTWARE PACKAGES; COMPUTER SOFTWARE; INFERENCE ENGINES; MARKOV PROCESSES; MONTE CARLO METHODS; NUCLEAR REACTORS; OPEN SOURCE SOFTWARE; OPEN SYSTEMS; RELIABILITY ANALYSIS; RISK ANALYSIS; RISK ASSESSMENT; SAFETY ENGINEERING; SOFTWARE ENGINEERING;

BAYESIAN INFERENCE; COPULAS; FAILURE MODELS; SIMULATION RISK ASSESSMENT; COMMON CAUSE FAILURE; DEPENDENT VARIABLES; ENGINEERING SYSTEMS; INTER-COMPONENT DEPENDENCIES; MARKOV CHAIN MONTE CARLO SAMPLINGS; PROBABILITY OF FAILURE; SIMULATION ENVIRONMENT; STATISTICAL PARAMETERS;

RISK ASSESSMENT; RISKS;

EID: 44349092474     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1115/IMECE2007-41284     Document Type: Conference Paper

References (9)

1. Kurowicka, Dorota and Cooke, Roger, Uncertainty Analysis with High Dimensional Dependence Modelling, John Wiley & Sons, Ltd., 2006.
2. Nelsen, Roger B., An Introduction to Copulas. Second Edition, Springer, 2006.
3. Barlow, Richard E. and Proschan, Frank, Statistical Theory of Reliability and Life Testing: Probability Models, McArdle Press, 1981 (reprint of 1975 edition, with corrections).
4. Frees, Edward W. and Valdez, Emiliano A., "Understanding Relationships Using Copulas," North American Actuarial Journal, Vol. 2, No. 1, 1998.
5. Siu, Nathan O. and Kelly, Dana L., "Bayesian Parameter Estimation in Probabilistic Risk Assessment," Reliability Engineering and System Safety, 62 (1998), pp. 89-116.
6. Apostolakis, G. and Kaplan, S., "Pitfalls in Risk Calculations." Reliability Engineering, 2 (1981), pp. 135-145.
7. Bedford, Tim and Cooke, Roger, Probabilistic Risk Analysis: Foundations and Methods. Cambridge University Press, 2001.
8. Clemen, Robert T. and Reilly, Terence, "Correlations and Copulas for Decision and Risk Analysis," Management Science, Vol. 45, No.2, February 1999.
9. Ferson, Scott and Hajagos, Janos G., "Varying Correlation Coefficients Can Underestimate Uncertainty in Probabilistic Models," Reliability Engineering and System Safety, 91 (2006), pp. 1461-146