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Informatika i Ee Primeneniya [Informatics and its Applications], 2012, Volume 6, Issue 4, Pages 9–17 (Mi ia227)  
On the accuracy of some mathematical models of catastrophically accumulated effects in prediction of risks of extremal events

I. A. Duchitskiia, V. Yu. Korolevab, I. A. Sokolovb

a M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
b Institute for Problems of Informatics of RAS
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Abstract: Estimates are constructed for the accuracy of approximation of the distributions of extrema of special random sums by scale mixtures of half-normal laws. The possibility of the application of these results in prediction of risks of extremal events due to catastrophically accumulated effects is discussed.
Keywords: nonhomogeneous flows of events; doubly stochastic Poisson process; negative binomial distribution; gamma-distribution; convergence rate estimate.
Document Type: Article
Language: Russian
Citation: I. A. Duchitskii, V. Yu. Korolev, I. A. Sokolov, “On the accuracy of some mathematical models of catastrophically accumulated effects in prediction of risks of extremal events”, Inform. Primen., 6:4 (2012), 9–17
Citation in format AMSBIB
\Bibitem{DucKorSok12}
\by I.~A.~Duchitskii, V.~Yu.~Korolev, I.~A.~Sokolov
\paper On the accuracy of some mathematical models of catastrophically accumulated effects in prediction of risks of extremal events
\jour Inform. Primen.
\yr 2012
\vol 6
\issue 4
\pages 9--17
\mathnet{http://mi.mathnet.ru/ia227}
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