System and method for automatically determining an overall risk resulting from a plurality of independent risk factors

• US 20020077793A1
• Filed: 10/18/2001
• Published: 06/20/2002
• Est. Priority Date: 10/18/2000
• Status: Abandoned Application

• Current Assignee: ABB Research Ltd. (ABB Ltd.)
• Original Assignee: ABB Research Ltd. (ABB Ltd.)
• Inventors: Poncet, Andreas
• Application Number:
  US09/978,687
• Publication Number:
  US 20020077793A1
• Time in Patent Office: Days
• US Class Current: 703/2
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

Method and system (1) for automatically determining an overall risk resulting from a plurality of independent risk factors, in which method and system a fast Fourier transform (FFT) is calculated with the aid of an FFT processor module (4) in each case for an accepted probability density function of an independent risk factor, in which method and system the transformed probability density functions of the independent risk factors are multiplied by one another by means of a multiplication module (5), and in which method and system an IFFT processor module (6) is used to calculate a probability density function proportional to the probability density function of the overall risk by calculating an inverse FFT transform for the product calculated by the multiplication module (5). Probability density functions are preferably respectively represented by a probability density vector, the vector elements of a probability density vector respectively corresponding to equidistant samples of the relevant probability density function.

Claims

1. A system (1) for automatically determining an overall risk resulting from a plurality of independent risk factors, which system (1) comprises an input interface module (2) for accepting probability density functions which are respectively assigned to one of the independent risk factors, characterized

in that the system (1) comprises at least one FFT processor module (4), which is set up such that it calculates an FFT transform for an accepted probability density function of an independent risk factor,

in that the system (1) comprises a multiplication module (5) which is set up such that it multiplies by one another the transformed probability density functions of the independent risk factors, and in that the system (1) comprises an IFFT processor module (6) which is set up such that it calculates a probability density function proportional to the probability density function of the overall risk by calculating an inverse FFT transform for the product calculated by the multiplication module (5).

2. The system (1) as claimed in claim 1, characterized in that it is set up such that probability density functions are represented in the system (1) in each case by a probability density vector, the vector elements of a probability density vector respectively corresponding to equidistant samples of the relevant probability density functions, in that the FFT processor module (4) is set up such that it represents the result of the FFT transformation of a probability density vector in the system (1) as a vector in each case, and in that the multiplication module (5) is set up such that it represents the calculated product in the system (1) as a vector whose vector elements are calculated by elementwise multiplication of the transformed probability density vectors.

3. The system (1) as claimed in claim 2, characterized in that it comprises an FFT length optimization module (3) which is set up such that it calculates the sum of the vector lengths of the probability density vectors of the independent risk factors, in that it determines the value of the smallest power of two which is greater than the calculated sum, and in that it increases the vector length of the probability density vectors of the independent risk factors to this value of the power of two, additional vector elements with the value zero being added.

4. The system (1) as claimed in one of claims 2 or 3, characterized in that it comprises a scaling module (7) which is set up such that it scales the probability density functions proportional to the probability density function of the overall risk with the aid of a value which is based on the equidistance with which the probability density vectors were determined by sampling from the probability density functions of the independent risk factors.

5. The system (1) as claimed in one of claims 1 to 4, characterized in that the IFFT processor module (6) has the same structure as the FFT processor module (4) as regards operators and operand registers.

6. A method for automatically determining an overall risk resulting from a plurality of independent risk factors, in which method an input interface module (2) is used to accept probability density functions which are assigned in each case to one of the independent risk factors, characterized in that an FFT transform is calculated in each case by means of an FFT processor module (4) for an accepted probability density function of an independent risk factor,

in that the transformed probability density functions of the independent risk factors are multiplied by one another by means of a multiplication module (5), and

in that an IFFT processor module (6) is used to calculate a probability density function proportional to the probability density function of the overall risk by calculating an inverse FFT transform for the product calculated by the multiplication module (5).

7. The method as claimed in claim 6, characterized in that probability density functions are respectively represented by a probability density vector, the vector elements of a probability density vector respectively corresponding to equidistant samples of the relevant probability density function, in that the result of the FFT transformation of a probability density vector by the FFT processor module (4) is respectively represented as a vector, and in that the calculated product is represented by the multiplication module (5) as a vector whose vector elements are calculated by elementwise multiplication of the transformed probability density vectors.

8. The method as claimed in claim 7, characterized in that the sum of the vector lengths of the probability density vectors of the independent risk factors is calculated by an FFT length optimization module (3), in that the FFT length optimization module (3) determines the value of the smallest power of two which is greater than the calculated sum, and in that the vector length of the probability density vectors of the independent risk factors is increased by the FFT length optimization module (3) to this value of the power of two, additional vector elements with the value zero being added.

9. The method as claimed in one of claims 7 or 8, characterized in that the probability density function proportional to the probability density function of the overall risk is scaled by a scaling module (7) with the aid of a value which is based on the equidistance with which the probability density vectors were determined by sampling from the probability density functions of the independent risk factors.

10. A computer program product comprising:

a computer-readable medium in which there are contained computer program coding means for controlling a computer such that the computer executes all the steps of the method in accordance with one of claims 6 to 9.