Abstract
We derive asymptotic approximation of high risk probability (ruin probability) for multidimensional aggregated reliability index which is a linear combination of single independent indexes, whose reliability functions (distribution tails) behave like Weibull tails.
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Farkas, J., Hashorva, E., Piterbarg, V.I. (2017). Asymptotic Behavior of Reliability Function for Multidimensional Aggregated Weibull Type Reliability Indices. In: Rykov, V., Singpurwalla, N., Zubkov, A. (eds) Analytical and Computational Methods in Probability Theory. ACMPT 2017. Lecture Notes in Computer Science(), vol 10684. Springer, Cham. https://doi.org/10.1007/978-3-319-71504-9_22
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DOI: https://doi.org/10.1007/978-3-319-71504-9_22
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