Gamma processes and peaks-over-threshold distributions for time-dependent reliability

Jan van Noortwijk, J.A.M. van der Weide, M.J. Kallen and M.D. Pandey

Reliability Engineering and System Safety, 2007, vol. 92, issue 12, 1651-1658

Abstract: In the evaluation of structural reliability, a failure is defined as the event in which stress exceeds a resistance that is liable to deterioration. This paper presents a method to combine the two stochastic processes of deteriorating resistance and fluctuating load for computing the time-dependent reliability of a structural component. The deterioration process is modelled as a gamma process, which is a stochastic process with independent non-negative increments having a gamma distribution with identical scale parameter. The stochastic process of loads is generated by a Poisson process. The variability of the random loads is modelled by a peaks-over-threshold distribution (such as the generalised Pareto distribution). These stochastic processes of deterioration and load are combined to evaluate the time-dependent reliability.

Keywords: Deterioration; Load; Gamma process; Peaks-over-threshold distribution; Poisson process; Kac functional equation (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:92:y:2007:i:12:p:1651-1658

DOI: 10.1016/j.ress.2006.11.003

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