WORKSHOP ON RISK ANALYSIS AND APPLICATIONS
24 and 25 of SEPTEMBER, 2025
Institute of Mathematics and, Statistics of the University of São Paulo, Brazil
SATELLITE WORKSHOP OF
8th BRAZILIAN CONFERENCE ON STATISTICAL MODELING IN INSURANCE AND FINANCE
WORKSHOP ON RISK ANALYSIS AND APPLICATIONS
24 and 25 of SEPTEMBER, 2025
Institute of Mathematics and, Statistics of the University of São Paulo, Brazil
SATELLITE WORKSHOP OF
8th BRAZILIAN CONFERENCE ON STATISTICAL MODELING IN INSURANCE AND FINANCE
Title: Systems with Repairment and Dependence
We study a system of iid elements with finite lifetimes and we allow for the possibility to apply n repairment actions to extend the lifetime in case of failure of the elements, with repairment occurring on a first come first served basis. The repairment has the effect of extending the expected lifetimes, but it also induces dependence among the elements. We study this dependence in a bivariate system, and extract the copula and the Kendall function. We propose applications to cyber risk, in a case in which information is distributed in two servers, and a banking system in which the central bank that acts as lender of last resorts has limited resources.