2 papers
math.ST2010
Generalized extreme shock models with a possibly increasing threshold
Pasquale Cirillo, Jürg Hüsler
We propose a generalized extreme shock model with a possibly increasing failure threshold. While standard models assume that the crucial threshold for the system may only decrease…
stat.AP2010
A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling
Pasquale Cirillo, Jürg Hüsler, Pietro Muliere
In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a…