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On Modeling Correlated Random Variables in Risk Assessment (1999)

Haas, Charles N.

Oxford, UK : Blackwell Publishing Ltd

Risk analysis 19 (1999), S. 0

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ISSN: 1539-6924

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Energy, Environment Protection, Nuclear Power Engineering

Notes: Monte Carlo methods in risk assessment are finding increasingly widespread application. With the recognition that inputs may be correlated, the incorporation of such correlations into the simulation has become important. Most implementations rely upon the method of Iman and Conover for generating correlated random variables. In this work, alternative methods using copulas are presented for deriving correlated random variables. It is further shown that the particular algorithm or assumption used may have a substantial effect on the output results, due to differences in higher order bivariate moments.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.1539-6924.1999.tb01139.x

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