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A new concept of reliability system and applications in finance
Annals of Operations Research ( IF 4.4 ) Pub Date : 2021-06-08 , DOI: 10.1007/s10479-021-04150-9
Roy Cerqueti

This paper proposes and explores an extension of the usual k-out-of-n systems, where the components of the system are assumed to play different roles in determining its failure and with not necessarily i.i.d. components lifetimes. The theoretical reliability framework is compared with the standard weighted k-out-of-n systems, and it is actually adopted for the development of a financial derivative model whose outcome depends on the crossing of some predefined barriers of a set of assets. More precisely, such a derivative is presented as a coherent system whose components are the assets of the basket.



中文翻译:

可靠性系统新概念及在金融中的应用

本文提出并探索了通常的k -out-of- n系统的扩展,其中假设系统的组件在确定其故障时扮演不同的角色,并且不一定具有相同的组件寿命。将理论可靠性框架与标准加权k -out-of- n系统进行比较,它实际上被用于开发金融衍生模型,其结果取决于一组资产的某些预定义障碍的跨越。更准确地说,这种衍生品被呈现为一个连贯的系统,其组成部分是篮子的资产。

更新日期:2021-06-08
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