A new concept of reliability system and applications in finance

Roy Cerqueti ()
Additional contact information
Roy Cerqueti: Department of Social and Economic Sciences

Annals of Operations Research, 2022, vol. 312, issue 1, No 4, 45-64

Abstract: Abstract This paper proposes and explores an extension of the usual k-out-of-n systems, where the components of the system are assumed to play different roles in determining its failure and with not necessarily i.i.d. components lifetimes. The theoretical reliability framework is compared with the standard weighted k-out-of-n systems, and it is actually adopted for the development of a financial derivative model whose outcome depends on the crossing of some predefined barriers of a set of assets. More precisely, such a derivative is presented as a coherent system whose components are the assets of the basket.

Keywords: Reliability; k-out-of-n system; Finance; Signature of a system; Financial derivatives (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10479-021-04150-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:312:y:2022:i:1:d:10.1007_s10479-021-04150-9

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-021-04150-9

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().