On modeling correlated random variables in risk assessment.

@article{Haas1999OnMC,
  title={On modeling correlated random variables in risk assessment.},
  author={Charles N. Haas},
  journal={Risk analysis : an official publication of the Society for Risk Analysis},
  year={1999},
  volume={19 6},
  pages={
          1205-14
        }
}
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… CONTINUE READING
BETA

Similar Papers

Citations

Publications citing this paper.
SHOWING 1-10 OF 39 CITATIONS

Uncertainty and uncertainty analysis methods

VIEW 5 EXCERPTS
CITES BACKGROUND & METHODS
HIGHLY INFLUENCED

Lessons Learned in Developing Cost Estimating Relationships

Hisham Abu-Abed, Dr. Xiuzhan Guo, Robert Martin Kok, Philip C. Lindsay, Joel Tousignant-Barnes
  • 2016