Time-Dependent Random Variables and QRM

Herfried Kohl

Chapter 21 in Managing SMEs in Times of Rapid Change, Uncertainty, and Disruption, 2024, pp 555-582 from Springer

Abstract: Key Topics in This Chapter: Mainly Quantitative Large parts of risk modelling are concerned with time-independent aspects of risks, or rather, with aspects related to a fixed period. If we want to go beyond that, we must look at random variables that explicitly depend on time. In this chapter, we look at different approaches on how this can be done. Topics include: Straightforward implementation of time dependence. Time-dependent random variables in reliability theory: Time to failure, reliability function, mean time to failure, max time to failure, mean residual lifetime. Control charts. Characteristics of stochastic processes. Poisson processes. Markov processes. Time series.

Date: 2024
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DOI: 10.1007/978-3-031-71272-2_21

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