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Robust Bernoulli Mixture Models for Credit Portfolio Risk
Mathematical Finance, Volume 36, Issue 3, Page 528-543, July 2026.ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley +1 more source
Reliability Study of Magnesium Oxychloride-Coated Reinforced Concrete Based on Gumbel Distribution. [PDF]
Materials (Basel), 2023 Li Y, Qiao H, Yang A.
europepmc +1 more source
Modeling spatial variability of steel corrosion using Gumbel distribution [PDF]
, 2019 Performance of corrosion-affected RC structures depends on the spatial variability of steel corrosion of reinforcing bars. The effect of spatial variability of steel corrosion on the remaining service life of concrete structures is significant.
Akiyama, Mitsuyoshi +3 more
core +1 more source
Non‐Stationary Dry‐Spell Hazard Probabilities for Spain
International Journal of Climatology, Volume 46, Issue 8, 30 June 2026.This study assesses long‐term changes in dry‐spell hazard probabilities across Spain (1961–2024) using a novel non‐stationary extreme value framework applied to daily precipitation records from a dense observational network. Results show that dry‐spell duration and associated return levels are dominantly stationary, with non‐stationary models providing
S. M. Vicente‐Serrano +13 more
wiley +1 more source
On the Temporal Variability of Precipitation in Iraq: Arid‐Wet Years and Extreme Events
International Journal of Climatology, Volume 46, Issue 7, 15 June 2026.Daily and monthly precipitation data in Iraq display high seasonal to interdecadal variability, with arid and wet years that have very distinct seasonal cycles. Monthly rainfall is significantly correlated with the Indian Ocean Dipole. Extreme events are identified and classified as belonging to four different weather patterns, allowing to obtain daily
Ali Raheem Al‐Nassar +2 more
wiley +1 more source
Lomax-Gumbel {Fréchet}: A New Distribution
Journal of Advances in Mathematics and Computer Science, 2019 In this paper the T-R{Y} framework is used for proposing a new distribution that called The Lomax-Gumbel{Frechet} distribution. We study in details the properties of this distribution including hazard function, quantile Function, the skewness, the kurtosis, transformation, Renyi entropy, and moment generating function.
R. E. Abdelatty +2 more
openaire +2 more sources
Global fluctuations and Gumbel statistics
, 2005 4 pages, 3 figuresInternational audienceWe explain how the statistics of global observables in correlated systems can be related to extreme value problems and to Gumbel statistics.
Bertin, Eric
core +1 more source
Inference of stress-strength reliability for two-parameter of exponentiated Gumbel distribution based on lower record values. [PDF]
PLoS One, 2021 Fayyazishishavan E, Kılıç Depren S.
europepmc +1 more source
Lost relatives of the Gumbel trick
, 2017 The Gumbel trick is a method to sample from a discrete probability distribution, or to estimate its normalizing partition function. The method relies on repeatedly applying a random perturbation to the distribution in a particular way, each time solving ...
Tripuraneni, N +4 more
core +2 more sources
Gumbel Extreme Hydrological Frequency Analysis Model in Situations of Insufficient Data
工程科学与技术, 2019 The prediction of hydrometeorological extreme elements is valuable for preventing natural disasters, controlling and reducing losses. However, the methods for analyzing hydrological frequency are based on a large amount of data, and the studies on ...
Longxia QIAN +3 more
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