Reliability design and RVaR

Research output: Contribution to journalArticle

Abstract

This paper provides an alternative valuation approach to reliability design based a concept of Value at Risk (VaR) used in finance to measure risk exposure. An accounting of the direct and indirect costs combined with the costs needed to meet contingent claims in case of default is used to redefine the traditional reliability design problem, resulting is a nonlinear optimization problem which we can solve by the usual methods. Applications are used to demonstrate the approach used.

Original languageEnglish (US)
Pages (from-to)347-353
Number of pages7
JournalInternational Journal of Reliability, Quality and Safety Engineering
Volume12
Issue number4
DOIs
StatePublished - Aug 2005

Fingerprint

Contingent Claims
Value at Risk
Risk Measures
Costs
Finance
Nonlinear Optimization
Valuation
Nonlinear Problem
Optimization Problem
Alternatives
Demonstrate
Design
Concepts

Keywords

  • Reliability
  • Risk valuation
  • Value at risk

ASJC Scopus subject areas

  • Industrial and Manufacturing Engineering
  • Safety, Risk, Reliability and Quality
  • Applied Mathematics

Cite this

Reliability design and RVaR. / Tapiero, Charles.

In: International Journal of Reliability, Quality and Safety Engineering, Vol. 12, No. 4, 08.2005, p. 347-353.

Research output: Contribution to journalArticle

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