How to Supplement the Safety Requirements

Stan Uryasev; Giorgi Pertaia

doi:10.1109/WSC40007.2019.9004769

How to Supplement the Safety Requirements

Stan Uryasev
, Giorgi Pertaia

Applied Mathematics and Statistics

University of Florida

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

Safety requirements based on Probability of Exceedance (POE) take into account only probabilities, but do not control magnitude of outcomes in the tail of the probabilistic distribution. The requirements do not constrain very large outcomes leading to industrial catastrophes. The paper shows how to upgrade safety requirements with the Buffered Probability of Exceedance (bPOE). The bPOE risk function equals a tail probability with known mean of the tail (i.e., it is a probability of the tail such that the mean of the tail equals to the specified value). The paper considers two application areas: 1) Credit ratings of financial synthetic instruments (e.g., AAA, AA,... credit ratings); 2) Materials strength certification (A-basis, B-basis).

Original language	English
Title of host publication	2019 Winter Simulation Conference, WSC 2019
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	3098-3103
Number of pages	6
ISBN (Electronic)	9781728132839
DOIs	https://doi.org/10.1109/WSC40007.2019.9004769
State	Published - Dec 2019
Event	2019 Winter Simulation Conference, WSC 2019 - National Harbor, United States Duration: Dec 8 2019 → Dec 11 2019

Publication series

Name	Proceedings - Winter Simulation Conference
Volume	2019-December
ISSN (Print)	0891-7736

Conference

Conference	2019 Winter Simulation Conference, WSC 2019
Country/Territory	United States
City	National Harbor
Period	12/8/19 → 12/11/19

Access to Document

10.1109/WSC40007.2019.9004769

Cite this

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title = "How to Supplement the Safety Requirements",

abstract = "Safety requirements based on Probability of Exceedance (POE) take into account only probabilities, but do not control magnitude of outcomes in the tail of the probabilistic distribution. The requirements do not constrain very large outcomes leading to industrial catastrophes. The paper shows how to upgrade safety requirements with the Buffered Probability of Exceedance (bPOE). The bPOE risk function equals a tail probability with known mean of the tail (i.e., it is a probability of the tail such that the mean of the tail equals to the specified value). The paper considers two application areas: 1) Credit ratings of financial synthetic instruments (e.g., AAA, AA,... credit ratings); 2) Materials strength certification (A-basis, B-basis).",

author = "Stan Uryasev and Giorgi Pertaia",

note = "Publisher Copyright: {\textcopyright} 2019 IEEE.; 2019 Winter Simulation Conference, WSC 2019 ; Conference date: 08-12-2019 Through 11-12-2019",

year = "2019",

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doi = "10.1109/WSC40007.2019.9004769",

language = "English",

series = "Proceedings - Winter Simulation Conference",

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Uryasev, S & Pertaia, G 2019, How to Supplement the Safety Requirements. in 2019 Winter Simulation Conference, WSC 2019., 9004769, Proceedings - Winter Simulation Conference, vol. 2019-December, Institute of Electrical and Electronics Engineers Inc., pp. 3098-3103, 2019 Winter Simulation Conference, WSC 2019, National Harbor, United States, 12/8/19. https://doi.org/10.1109/WSC40007.2019.9004769

How to Supplement the Safety Requirements. / Uryasev, Stan; Pertaia, Giorgi.
2019 Winter Simulation Conference, WSC 2019. Institute of Electrical and Electronics Engineers Inc., 2019. p. 3098-3103 9004769 (Proceedings - Winter Simulation Conference; Vol. 2019-December).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AB - Safety requirements based on Probability of Exceedance (POE) take into account only probabilities, but do not control magnitude of outcomes in the tail of the probabilistic distribution. The requirements do not constrain very large outcomes leading to industrial catastrophes. The paper shows how to upgrade safety requirements with the Buffered Probability of Exceedance (bPOE). The bPOE risk function equals a tail probability with known mean of the tail (i.e., it is a probability of the tail such that the mean of the tail equals to the specified value). The paper considers two application areas: 1) Credit ratings of financial synthetic instruments (e.g., AAA, AA,... credit ratings); 2) Materials strength certification (A-basis, B-basis).

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ER -

How to Supplement the Safety Requirements

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