In this paper the combination of stochastic colored Petri nets and the RESTART method is proposed to evaluate performance measures of complex systems that depend on rare events. A prototype implementation is described, which is applied to a logistics example.

We present a common framework to study decay and exchanges rates in a wide class of dynamical systems. Several applications, ranging form the metric theory of continuons fractions and the Shannon capacity of contrained systems to the decay rate of metastable states, are given.

Statistical NLP inevitably deals with a large number of rare events. As a consequence, NLP data often violates the assumptions implicit in traditional statistical procedures such as signi cance testing. We describe a signi cance test, an exact conditional test, that is appropriate for NLP data and can be performed using freely available software. We apply this test to the study of lexical relat...

This paper deals with estimations of probabilities of rare events using fast simulation based on the splitting method. In this technique, the sample paths are split into multiple copies at various stages in the simulation. Our aim is to optimize the algorithm and to obtain a precise confidence interval of the estimator using branching processes. The numerical results presented suggest that the ...

BACKGROUND Severe life events are acknowledged as important etiological factors in the development of clinical disorders, including major depression. Interview methods capable of assessing context and meaning of events have demonstrated superior validity compared with checklist questionnaire methods and arguments for interview approaches have resurfaced because choosing the appropriate assessme...

The seminal Barro (2006) closed-economy model of the equity risk premium in the presence of extreme events ("disasters") allowed for leverage in the form of risky corporate debt which defaulted only in states when the Government defaulted on its debt. The probability of default was therefore exogenous and independent of the degree of leverage. In this paper, we take the model a step closer real...

We describe some general results that constrain the dynamical fluctuations that can occur in non-equilibrium steady states, with a focus on molecular dynamics. That is, we consider Hamiltonian systems, coupled to external heat baths, and driven out of equilibrium by non-conservative forces. We focus on the probabilities of rare events (large deviations). First, we discuss a PT (parity-time) sym...

* Associate Professor, Department of Safety Science, Embry-Riddle Aeronautical University, 3200 Willow Creek Road, Prescott, Arizona 86301; currently on sabbatical at University of Iowa, Iowa City, Iowa 52242; telephone: 319-335-5857; e-mail: [email protected] † Human-Automation Integration Research Branch, Ames Research Center, National Aeronautics and Space Administration, Moffett Field...

The paper presents the results of a case study fitting the generalized Pareto distribution to insurance industry claims data. Besides classical parametric procedures, robust statistical concepts are considered. The latter provide instruments to assess the characteristics of estimators also in the neighborhood of parametric models. A demand for robust methods may arise in cases of fitting distri...

This paper introduces a multiple quantile utility model of Cumulative Prospect Theory in an ambiguous setting. We show a representation theorem in which a prospect is valued by a composite value function. The composite value function is able to represent asymmetric attitude on extreme events and a rational prudence on ordinary events.