An Application of Copulas to Accident Precursor Analysis
AbstractData on accident precursors can help in estimating accident frequencies, since they provide a rich source of information on intersystem dependencies. However, Bayesian analysis of accident precursors requires the ability to construct joint prior distributions reflecting such dependencies. For example, the failure probabilities of a particular safety system under normal and accident conditions, respectively, will generally not be identical (because of the effects of the accident), but will almost certainly be correlated (since both failure probabilities reflect the performance of the same components, with the same inherent levels of reliability). In this paper, we explore the use of copulas (a method of representing joint distribution functions with particular marginals) to construct the needed prior distributions, and then use these distributions in a Bayesian analysis of hypothetical precursor data. This demonstrates the usefulness of copulas in practice. The same approach can also be used in a wide variety of other contexts where joint distributions with particular marginals are desired.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by INFORMS in its journal Management Science.
Volume (Year): 44 (1998)
Issue (Month): 12-Part-2 (December)
Copulas; Accident Precursors; Risk Analysis; Dependencies; Bayesian Analysis;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- van Dorp, J. Rene, 2005. "Statistical dependence through common risk factors: With applications in uncertainty analysis," European Journal of Operational Research, Elsevier, vol. 161(1), pages 240-255, February.
- Agustín Hernández-Bastida & M. Fernández-Sánchez, 2012. "A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model," Statistical Methods and Applications, Springer, vol. 21(4), pages 391-409, November.
- Hernández-Bastida, A. & Fernández-Sánchez, M.P. & Gómez-Déniz, E., 2009. "The net Bayes premium with dependence between the risk profiles," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 247-254, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mirko Janc).
If references are entirely missing, you can add them using this form.