On Return Probabilities of Adverse Events Under Dependence and Lessons to Learn for Decision-Making

Considering achieving a goal in each of several time intervals when, in every time interval, an adverse event may lead to a failure raises the question of the return probability of adverse events, so the probability of at least one failure to happen during the time period of interest. Through basic mathematical arguments in tractable cases, we investigate the behavior of the return probability of adverse events in various setups. In the univariate case, we consider the independent and identically distributed setup, the independent setup, the dependent but not necessarily identically distributed setup, and the dependent and identically distributed setup. In the multivariate case, we consider several goals to be achieved in each time period. Besides different setups for the marginal failure probabilities, we study dependence in terms of comonotone blocks and independent blocks and via nested copulas. In case closed form expressions are not available, we derive bounds on the return probability of at least one failure. Our results are interpretable in terms of decision-making, provide insight into what affects such return probabilities and thus may help to develop strategies to lower them.

Authors

Institutions

Publication Details

Journal
Risks
Published
2026-03-05
DOI
https://doi.org/10.3390/risks14030058
Primary Topic
Risk and Portfolio Optimization
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

On Return Probabilities of Adverse Events Under Dependence and Lessons to Learn for Decision-Making

Marius Hofert
Risks
Risk and Portfolio Optimization
article

On Return Probabilities of Adverse Events Under Dependence and Lessons to Learn for Decision-Making

Marius Hofert
article en

Abstract

Considering achieving a goal in each of several time intervals when, in every time interval, an adverse event may lead to a failure raises the question of the return probability of adverse events, so the probability of at least one failure to happen during the time period of interest. Through basic mathematical arguments in tractable cases, we investigate the behavior of the return probability of adverse events in various setups. In the univariate case, we consider the independent and identically distributed setup, the independent setup, the dependent but not necessarily identically distributed setup, and the dependent and identically distributed setup. In the multivariate case, we consider several goals to be achieved in each time period. Besides different setups for the marginal failure probabilities, we study dependence in terms of comonotone blocks and independent blocks and via nested copulas. In case closed form expressions are not available, we derive bounds on the return probability of at least one failure. Our results are interpretable in terms of decision-making, provide insight into what affects such return probabilities and thus may help to develop strategies to lower them.

RisksVol. 14(3)
University of Hong Kong (HK)
Peace, Justice and strong institutions
Openalex Percentile: Top 39%
Risk and Portfolio Optimization
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.