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Title: Calculating Exceedance Probabilities Using a Distributionally Robust Method
Authors: Faridafshin, Farzad
Grechuk, Bogdan
Naess, Arvid
First Published: 22-May-2017
Citation: Structural Safety, 2017, 67, pp. 132–141
Abstract: Calculation of exceedance probabilities or the inverse problem of finding the level corresponding to a given exceedance probability occurs in many practical applications. For instance, it is often of interest in offshore engineering to evaluate the wind, wave, current, and sea ice properties with annual exceedance probabilities of, e.g., 10−1, 10−2, and 10−3, or so-called 10-year, 100-year, and 1000-year values. A methodology is provided in this article to calculate a tight upper bound of the exceedance probability, given any probability distribution from a wide range of commonly used distributions. The approach is based on a generalization of the Chebyshev inequality for the class of distributions with a logarithmically concave cumulative distribution function, and has the potential to relieve the often-debated exercise of determining an appropriate probability distribution function based on limited data, particularly in terms of tail behavior. Two numerical examples are provided for illustration.
DOI Link: 10.1016/j.strusafe.2017.02.003
ISSN: 0167-4730
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2017, Elsevier. Deposited with reference to the publisher’s archiving policy available on the SHERPA/RoMEO website.
Description: The file associated with this record is embargoed until 12 months after the date of publication. The final published version may be available through the links above.
Appears in Collections:Published Articles, Dept. of Mathematics

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