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Informatika i Ee Primeneniya [Informatics and its Applications], 2012, Volume 6, Issue 4, Pages 9–17
(Mi ia227)
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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
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.
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
Linking options:
https://www.mathnet.ru/eng/ia227 https://www.mathnet.ru/eng/ia/v6/i4/p9
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