Reliability design and RVaR

Charles S. Tapiero

doi:10.1142/S0218539305001872

Reliability design and RVaR

Charles S. Tapiero

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

This paper provides an alternative valuation approach to reliability design based a concept of Value at Risk (VaR) used in finance to measure risk exposure. An accounting of the direct and indirect costs combined with the costs needed to meet contingent claims in case of default is used to redefine the traditional reliability design problem, resulting is a nonlinear optimization problem which we can solve by the usual methods. Applications are used to demonstrate the approach used.

Original language	English (US)
Pages (from-to)	347-353
Number of pages	7
Journal	International Journal of Reliability, Quality and Safety Engineering
Volume	12
Issue number	4
DOIs	https://doi.org/10.1142/S0218539305001872
State	Published - Aug 2005

Keywords

Reliability
Risk valuation
Value at risk

ASJC Scopus subject areas

General Computer Science
Nuclear Energy and Engineering
Safety, Risk, Reliability and Quality
Aerospace Engineering
Energy Engineering and Power Technology
Industrial and Manufacturing Engineering
Electrical and Electronic Engineering

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10.1142/S0218539305001872

Cite this

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Reliability design and RVaR

Abstract

Keywords

ASJC Scopus subject areas

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