Clinic: correlated inputs in an automotive paint shop fire risk simulation

General motors (GM) has developed a first proof-of-concept simulation model to explore impacts of various fire events in automotive paint shop operations. The approach uses a chronological event tree structure to assess effectiveness of various fire protection options to reduce the potential for significant property damage and loss of production capability. For confidentiality purposes, GM has disguised the numerical data presented in this case study. GM is seeking advice from the simulation community on modeling questions related to input distribution modeling, and correlation structure among input random variables.

[1]  N L JOHNSON,et al.  Bivariate distributions based on simple translation systems. , 1949, Biometrika.

[2]  James R. Wilson Modeling dependencies in stochastic simulation inputs , 1997, WSC '97.

[3]  J. J. Swain,et al.  Least-squares estimation of distribution functions in johnson's translation system , 1988 .

[4]  Barry L. Nelson,et al.  Modeling and generating multivariate time-series input processes using a vector autoregressive technique , 2003, TOMC.

[5]  J. Corcoran Modelling Extremal Events for Insurance and Finance , 2002 .

[6]  Tomasz Rolski,et al.  Stochastic Processes for Insurance and Finance , 2001 .

[7]  Thomas Mikosch,et al.  Non-Life Insurance Mathematics: An Introduction with Stochastic Processes , 2006 .

[8]  N. L. Johnson,et al.  Continuous Multivariate Distributions, Volume 1: Models and Applications , 2019 .

[9]  Milton Abramowitz,et al.  Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables , 1964 .

[10]  N. L. Johnson,et al.  Systems of frequency curves generated by methods of translation. , 1949, Biometrika.

[11]  Angela Christine LaFleur Enterprise-level industrial fire risk modeling and analysis for automobile manufacturing facilities. , 2007 .

[12]  Stuart A. Klugman,et al.  Loss Models: From Data to Decisions , 1998 .

[13]  Bahar Biller,et al.  Chapter 5 Multivariate Input Processes , 2006, Simulation.

[14]  Paul Embrechts,et al.  Stochastic processes in insurance and finance , 2001 .