Extreme risk measures for train delay time

Alfred Mbairadjim Moussa () and Maïté Stéphan ()
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Alfred Mbairadjim Moussa: LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - INRA - Institut National de la Recherche Agronomique - Montpellier SupAgro - Centre international d'études supérieures en sciences agronomiques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier
Maïté Stéphan: LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - INRA - Institut National de la Recherche Agronomique - Montpellier SupAgro - Centre international d'études supérieures en sciences agronomiques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier

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Abstract: Following the financial literature on risk management, this paper introduces some risk measure for train delay time in the probabilistic framework. The measures of extreme risk are defined as quantile of train delay time assumed as positive continuous random variables. Their close-formed expressions and empirical calibration are discussed under the assumptions of log-normal, log-t-Student and Weibull distributions. A method for the performance evaluation of the proposed measure is presented. Finally, an empirical study illustrates the effectiveness of our modeling approach and shows the interest of its practical application.

Keywords: Train delay; Extreme risk measure; Quantile function; Reliability (search for similar items in EconPapers)
Date: 2014-06-05
Note: View the original document on HAL open archive server: https://hal.science/hal-04910482v1
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Published in Journées de Microéconomie Appliquée, Jun 2014, Clermont Ferrand, France

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