Correlated Inputs in Quantitative Risk Assessment: The Effects of Distributional Shape
Abstract:Application of Monte Carlo simulation methods to quantitative risk assessment are becoming increasingly popular. With this methodology, investigators have become concerned about correlations among input variables which might affect the resulting distribution of risk. We show that the choice of input distributions in these simulations likely has a larger effect on the resultant risk distribution than does the inclusion or exclusion of correlations. Previous investigators have studied the effect of correlated input variables for the addition of variables with any underlying distribution and for the product of lognormally distributed variables. The effects in the main part of the distribution are small unless the correlation and variances are large. We extend this work by considering addition, multiplication and division of two variables with assumed normal, lognormal, uniform and triangular distributions. For all possible pairwise combinations, we find that the effects of correlated input variables are similar to those observed for lognormal distributions, and thus relatively small overall. The effect of using different distributions, however, can be large.
Document Type: Research Article
Affiliations: 1: New Jersey Graduate Program in Public Health, UMDNJ-Robert Wood Johnson Medical School, Piscataway, New Jersey 08854-5635. 2: Department of Environmental Protection, Division of Science and Research, CN 409, Trenton, New Jersey 08625-0409.
Publication date: 1995-04-01