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Gamma processes and peaks-over-threshold distributions for time-dependent reliability

Author

Listed:
  • van Noortwijk, J.M.
  • van der Weide, J.A.M.
  • Kallen, M.J.
  • Pandey, M.D.

Abstract

In the evaluation of structural reliability, a failure is defined as the event in which stress exceeds a resistance that is liable to deterioration. This paper presents a method to combine the two stochastic processes of deteriorating resistance and fluctuating load for computing the time-dependent reliability of a structural component. The deterioration process is modelled as a gamma process, which is a stochastic process with independent non-negative increments having a gamma distribution with identical scale parameter. The stochastic process of loads is generated by a Poisson process. The variability of the random loads is modelled by a peaks-over-threshold distribution (such as the generalised Pareto distribution). These stochastic processes of deterioration and load are combined to evaluate the time-dependent reliability.

Suggested Citation

  • van Noortwijk, J.M. & van der Weide, J.A.M. & Kallen, M.J. & Pandey, M.D., 2007. "Gamma processes and peaks-over-threshold distributions for time-dependent reliability," Reliability Engineering and System Safety, Elsevier, vol. 92(12), pages 1651-1658.
    • Handle: RePEc:eee:reensy:v:92:y:2007:i:12:p:1651-1658
    DOI: 10.1016/j.ress.2006.11.003
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    References listed on IDEAS

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