Extreme shock models: an alternative perspective
Abstract
Extreme shock models have been introduced in Gut and Hüsler (1999) to study systems that at random times are subject to shock of random magnitude. These systems break down when some shock overcomes a given resistance level. In this paper we propose an alternative approach to extreme shock models using reinforced urn processes. As a consequence of this we are able to look at the same problem under a Bayesian nonparametric perspective, providing the predictive distribution of systems' defaults.
- Publication:
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arXiv e-prints
- Pub Date:
- September 2010
- DOI:
- 10.48550/arXiv.1009.1732
- arXiv:
- arXiv:1009.1732
- Bibcode:
- 2010arXiv1009.1732C
- Keywords:
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- Statistics - Other Statistics
- E-Print:
- Statistics and Probability Letters, 2010