scholarly journals Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications

2018 ◽  
Vol 78 ◽  
pp. 114-122 ◽  
Author(s):  
J. Beirlant ◽  
G. Maribe ◽  
A. Verster
2014 ◽  
Vol 140 (9) ◽  
pp. 04014061 ◽  
Author(s):  
M. F. Huang ◽  
Wenjuan Lou ◽  
Xiaotao Pan ◽  
C. M. Chan ◽  
Q. S. Li

Author(s):  
Ryota Wada ◽  
Takuji Waseda

Extreme value estimation of significant wave height is essential for designing robust and economically efficient ocean structures. But in most cases, the duration of observational wave data is not efficient to make a precise estimation of the extreme value for the desired period. When we focus on hurricane dominated oceans, the situation gets worse. The uncertainty of the extreme value estimation is the main topic of this paper. We use Likelihood-Weighted Method (LWM), a method that can quantify the uncertainty of extreme value estimation in terms of aleatory and epistemic uncertainty. We considered the extreme values of hurricane-dominated regions such as Japan and Gulf of Mexico. Though observational data is available for more than 30 years in Gulf of Mexico, the epistemic uncertainty for 100-year return period value is notably large. Extreme value estimation from 10-year duration of observational data, which is a typical case in Japan, gave a Coefficient of Variance of 43%. This may have impact on the design rules of ocean structures. Also, the consideration of epistemic uncertainty gives rational explanation for the past extreme events, which were considered as abnormal. Expected Extreme Value distribution (EEV), which is the posterior predictive distribution, defined better extreme values considering the epistemic uncertainty.


Author(s):  
D. Gary Harlow

Abstract Uncertainty in the prediction of lower tail fatigue life behavior is a combination of many causes, some of which are aleatoric and some of which are systemic. The error cannot be entirely eliminated or quantified due to microstructural variability, manufacturing processing, approximate scientific modeling, and experimental inconsistencies. The effect of uncertainty is exacerbated for extreme value estimation for fatigue life distributions because by necessity those events are rare. In addition, typically, there is a sparsity of data in the region of smaller stress levels in stress–life testing where the lives are considerably longer, extending to giga cycles for some applications. Furthermore, there is often over an order of magnitude difference in the fatigue lives in that region of the stress–life graph. Consequently, extreme value estimation is problematic using traditional analyses. Thus, uncertainty must be statistically characterized and appropriately managed. The primary purpose of this paper is to propose an empirically based methodology for estimating the lower tail behavior of fatigue life cumulative distribution functions, given the applied stress. The methodology incorporates available fatigue life data using a statistical transformation to estimate lower tail behavior at much smaller probabilities than can be estimated by traditional approaches. To assess the validity of the proposed methodology confidence bounds will be estimated for the stress–life data. The development of the methodology and its subsequent validation will be illustrated using extensive fatigue life data for 2024–T4 aluminum alloy specimens readily available in the open literature.


Extremes ◽  
2019 ◽  
Vol 23 (1) ◽  
pp. 171-195
Author(s):  
Phyllis Wan ◽  
Tiandong Wang ◽  
Richard A. Davis ◽  
Sidney I. Resnick

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