Regensburg 2013 – wissenschaftliches Programm

Bereiche | Tage | Auswahl | Suche | Aktualisierungen | Downloads | Hilfe

SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 2: Financial Markets and Risk Management I

SOE 2.1: Vortrag

Montag, 11. März 2013, 10:00–10:15, H37

A stochastic nethod for risk quantification of technical systems — •Magda Schiegl — University of Applied Sciences, Landshut, Germany

We introduce a new method for the risk quantification of complex technical systems (for instance technical devices, processes) and apply it to an example of medical technology. The Fault Tree Analysis (FTA), a method of the classical engineering risk analysis, is combined with methods of stochastic risk management to calculate the total claim distribution of complex technical systems.

The result of a FTA is a structured tree showing all possible problems of the technical system producing claims (costs). The probabilities of the claim events on every node of the FTA tree are also included. At the end of every single tree branch we are left with quite a specific kind of technical problem. Therefore its cost (claim) distribution can be specified quite easily by an expert. As a next step we use stochastic simulation (Monte Carlo) to aggregate all these specific single claim distributions to the system*s total claim distribution. The aggregation is according to the tree*s structure and probabilistic character. In this way all risk measures being used in modern risk management * as for instance VaR or expected shortfall * are accessible. We demonstrate the new method in applying it to a practical example: The dentist*s chair.