RISK EVENTS FOR TWO RANDOM PROCESSES

摘要

The problem when a random variable exceeds some boundary is very often studied problem in many fields of science. The classical approach focuses on situation when random variable overlap a fix value. More general methods interested in situation with two random variables and the risk events occurs when the value of one random variable exceeds the value of the second random variable. This paper deals with a problem of exceeding for two random which are analysed in time. For two correlated random normal processes with systematically trend parts are studied statistical properties of their difference and statistical properties of cumulative variables. Although assumptions of models do not necessary correspond with the reality, the application of the real data show a possible application of this approach.