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Analyzing the multistate system under a run shock model Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20240216
Murat Ozkut, Cihangir Kan, Ceki FrankoA system experiences random shocks over time, with two critical levels, d1 and d2, where $d_{1} \lt d_{2}$ . k consecutive shocks with magnitudes between d1 and d2 partially damaging the system, causing it to transition to a lower, partially working state. Shocks with magnitudes above d2 have a catastrophic effect, resulting in complete failure. This theoretical framework gives rise to a multistate

General distributions of number representation elements Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20240207
Félix Balado, Guénolé C. M. SilvestreWe provide general expressions for the joint distributions of the k most significant bary digits and of the k leading continued fraction (CF) coefficients of outcomes of arbitrary continuous random variables. Our analysis highlights the connections between the two problems. In particular, we give the general convergence law of the distribution of the jth significant digit, which is the counterpart

Logconcavity and relative logconcave ordering of compound distributions Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20240129
Wanwan Xia, Wenhua LvIn this paper, we compare the entropy of the original distribution and its corresponding compound distribution. Several results are established based on convex order and relative logconcave order. The necessary and sufficient condition for a compound distribution to be logconcave is also discussed, including compound geometric distribution, compound negative binomial distribution and compound binomial

A queueing system with an SIRtype infection Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20240116
Claude Lefèvre, Matthieu SimonWe consider the propagation of a stochastic SIRtype epidemic in two connected populations: a relatively small local population of interest which is surrounded by a much larger external population. External infectives can temporarily enter the small population and contribute to the spread of the infection inside this population. The rules for entry of infectives into the small population as well as

Equilibrium analysis of the fluid model with two types of parallel customers and incomplete fault Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20240112
Yitong Zhang, Xiuli Xu, Pei Zhao, Mingxin LiuThis article considers the individual equilibrium behavior and socially optimal strategy in a fluid queue with two types of parallel customers and incomplete fault. Assume that the working state and the incomplete fault state appear alternately in the buffer. Different from the linear revenue and expenditure structure, an exponential utility function can be constructed to obtain the equilibrium balking

Gametheoretic policy computing and simulation for blockchained buffering system via diffusion approximation Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20240112
Wanyang DaiWe study 2stage gametheoretic problem oriented 3stage service policy computing, convolutional neural network (CNN) based algorithm design, and simulation for a blockchained buffering system with federated learning. More precisely, based on the gametheoretic problem consisting of both “winlose” and “winwin” 2stage competitions, we derive a 3stage dynamical service policy via a saddle point to

On the dynamic residual measure of inaccuracy based on extropy in order statistics Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20240111
M. Mohammadi, M. Hashempour, O. KamariIn this paper, we introduce a novel way to quantify the remaining inaccuracy of order statistics by utilizing the concept of extropy. We explore various properties and characteristics of this new measure. Additionally, we expand the notion of inaccuracy for ordered random variables to a dynamic version and demonstrate that this dynamic information measure provides a unique determination of the distribution

Shock models governed by an inverse gamma mixed Poisson process Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20231215
Antonella Iuliano, Barbara Martinucci, Verdiana MustaroWe study three classes of shock models governed by an inverse gamma mixed Poisson process (IGMP), namely a mixed Poisson process with an inverse gamma mixing distribution. In particular, we analyze (1) the extreme shock model, (2) the δshock model, and the (3) cumulative shock model. For the latter, we assume a constant and an exponentially distributed random threshold and consider different choices

Precise large deviations for a multidimensional risk model with regression dependence structure Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20231201
Yang Liu, KeAng Fu, Zhenlong ChenIn this paper, we consider a nonstandard multidimensional risk model, in which the claim sizes $\{\vec{X}_k, k\ge 1\}$ form an independent and identically distributed random vector sequence with dependent components. By assuming that there exists the regression dependence structure between interarrival time and the claimsize vectors, we extend the regression dependence to a more practical multidimensional

On a retrial queue with negative customers, passive breakdown, and delayed repairs Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20231020
Yunna Han, Ruiling Tian, Xinyu Wu, Liuqing HeThis paper studies an M/M/1 retrial queue with negative customers, passive breakdown, and delayed repairs. Assume that the breakdown behavior of the server during idle periods is different from that during busy periods. Passive breakdowns may occur when the server is idle, due to the lack of monitoring of the server during idle periods. When the passive breakdown occurs, the server does not get repaired

On Jensen divergence measure Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20231019
Omid Kharazmi, Narayanaswamy BalakrishnanThe purpose of this paper is twofold. The first part is to introduce relative $\chi_{\alpha}^{2}$ , Jensen $\chi_{\alpha}^{2}$ and (p, w)Jensen $\chi_{\alpha}^2$ divergence measures and then examine their properties. In addition, we also explore possible connections between these divergence measures and Jensen–Shannon entropy measure. In the second part, we introduce $(p,\eta)$ mixture model and

Dependence among order statistics for timetransformed exponential models Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20231005
Subhash Kochar, Fabio L. SpizzichinoLet $(X_{1},\ldots,X_{n})$ be a random vector distributed according to a timetransformed exponential model. This is a special class of exchangeable models, which, in particular, includes multivariate distributions with Schurconstant survival functions. Let for $1\leq i\leq n$ , $X_{i:n}$ denote the corresponding ithorder statistic. We consider the problem of comparing the strength of dependence

Structured Replacement Policies for Offshore Wind Turbines Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20231002
Morteza Soltani, Jeffrey P. Kharoufeh, Amin KhademiWe consider the problem of optimally maintaining an offshore wind farm in which major components progressively degrade over time due to normal usage and exposure to a randomly varying environment. The turbines exhibit both economic and stochastic dependence due to shared maintenance setup costs and their common environment. Our aim is to identify optimal replacement policies that minimize the expected

On the combined imperfect repair process Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230918
Ji Hwan Cha, Maxim FinkelsteinIn this paper, a new point process is introduced. It combines the nonhomogeneous Poisson process with the generalized Polya process (GPP) studied in recent literature. In reliability interpretation, each event (failure) from this process is minimally repaired with a given probability and GPPrepaired with the complementary probability. Characterization of the new process via the corresponding bivariate

Worstcase Omega ratio under distribution uncertainty with its application in robust portfolio selection Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230801
Qiuyang Li, Xinqiao XieOmega ratio, a riskreturn performance measure, is defined as the ratio of the expected upside deviation of return to the expected downside deviation of return from a predetermined threshold described by an investor. Motivated by finding a solution protected against sampling errors, in this paper, we focus on the worstcase Omega ratio under distributional uncertainty and its application to robust

Asymptotic behaviors of aggregated Markov processes Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230725
Lirong Cui, He Yi, Weixin JiangFinite state Markov processes and their aggregated Markov processes have been extensively studied, especially in ion channel modeling and reliability modeling. In reliability field, the asymptotic behaviors of repairable systems modeled by both processes have been paid much attention to. For a Markov process, it is wellknown that limiting measures such as availability and transition probability do

Disparitypersistence and the multistep friendship paradox Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230725
Kenneth S. Berenhaut, Chi M. ZhangIn this paper, we consider the friendship paradox in the context of random walks and paths. Among our results, we give an equality connecting longrange degree correlation, degree variability, and the degreewise effect of additional steps for a random walk on a graph. Random paths are also considered, as well as applications to acquaintance sampling in the context of coreperiphery structure.

Percolation in simple directed random graphs with a given degree distribution Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230505
Femke van Ieperen, Ivan KryvenWe study site and bond percolation in simple directed random graphs with a given degree distribution. We derive the percolation threshold for the giant strongly connected component and the fraction of vertices in this component as a function of the percolation probability. The results are obtained for degree sequences in which the maximum degree may depend on the total number of nodes n, being asymptotically

Stochastic comparisons of largest claim and aggregate claim amounts Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230404
Arindam Panja, Pradip Kundu, Nil Kamal Hazra, Biswabrata PradhanIn this paper, we establish some stochastic comparison results for largest claim amounts of two sets of independent and also for interdependent portfolios under the setup of the proportional odds model. We also establish stochastic comparison results for aggregate claim amounts of two sets of independent portfolios. Further, stochastic comparisons for largest claim amounts from two sets of independent

A new measure of inaccuracy for record statistics based on extropy Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230310
Majid Hashempour, Morteza MohammadiWe introduce a new measure of inaccuracy based on extropy between distributions of the nth upper (lower) record value and parent random variable and discuss some properties of it. A characterization problem for the proposed extropy inaccuracy measure has been studied. It is also shown that the defined measure of inaccuracy is invariant under scale but not under location transformation. We characterize

Phase transitions in biased opinion dynamics with 2choices rule Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230310
Arpan MukhopadhyayWe consider a model of binary opinion dynamics where one opinion is inherently “superior” than the other, and social agents exhibit a “bias” toward the superior alternative. Specifically, it is assumed that an agent updates its choice to the superior alternative with probability α > 0 irrespective of its current opinion and opinions of other agents. With probability $1\alpha$ , it adopts majority

On hybrid treebased methods for shortterm insurance claims Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230308
Zhiyu Quan, Zhiguo Wang, Guojun Gan, Emiliano A. ValdezTwopart framework and the Tweedie generalized linear model (GLM) have traditionally been used to model loss costs for shortterm insurance contracts. For most portfolios of insurance claims, there is typically a large proportion of zero claims that leads to imbalances, resulting in lower prediction accuracy of these traditional approaches. In this article, we propose the use of treebased methods

A new lifetime distribution by maximizing entropy: properties and applications Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230228
Ali Khosravi Tanak, Marziyeh Najafi, G.R. Mohtashami BorzadaranThe principle of maximum entropy is a wellknown approach to produce a model for datagenerating distributions. In this approach, if partial knowledge about the distribution is available in terms of a set of information constraints, then the model that maximizes entropy under these constraints is used for the inference. In this paper, we propose a new threeparameter lifetime distribution using the

Overlap times in the infinite server queue Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230223
Sergio Palomo, Jamol PenderImagine, you enter a grocery store to buy food. How many people do you overlap with in this store? How much time do you overlap with each person in the store? In this paper, we answer these questions by studying the overlap times between customers in the infinite server queue. We compute in closed form the steadystate distribution of the overlap time between a pair of customers and the distribution

A closedform approximation for pricing spread options on futures under a meanreverting spot price model with multiscale stochastic volatility Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230220
SeungYong Baek, JeongHoon KimCommodity spot prices tend to revert to some longterm mean level and most commodity derivatives are based on futures prices, not on spot prices. So, we consider spread options on futures instead of spot or spot index, where the log spot price follows a meanreverting process. The volatility of the meanreverting process is driven by two different (fast and slow) scale factors. We use asymptotic analysis

Methodofmoments estimators of a scale parameter based on samples from a coherent system Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230216
Claudio Macci, Jorge NavarroIn this paper, we study the estimation of a scale parameter from a sample of lifetimes of coherent systems with a fixed structure. We assume that the components are independent and identically distributed having a common distribution which belongs to a scale parameter family. Some results are obtained as well for dependent (exchangeable) components. To this end, we will use the representations for

Random multihooking networks Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230213
Kiran R. Bhutani, Ravi Kalpathy, Hosam MahmoudWe introduce a broad class of multihooking networks, wherein multiple copies of a seed are hooked at each step at random locations, and the number of copies follows a predetermined building sequence of numbers. We analyze the degree profile in random multihooking networks by tracking two kinds of node degrees—the local average degree of a specific node over time and the global overall average degree

Paretooptimal reinsurance with default risk and solvency regulation Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230203
Tim J. Boonen, Wenjun JiangThis paper studies a Paretooptimal reinsurance problem when the contract is subject to default of the reinsurer. We assume that the reinsurer can invest a share of its wealth in a risky asset and default occurs when the reinsurer's endofperiod wealth is insufficient to cover the indemnity. We show that without the solvency regulation, the optimal indemnity function is of excessofloss form, regardless

Multipledrawing dynamic Friedman urns with oppositereinforcement Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230126
Shuyang Gao, Rafik AguechIn this study, we consider a class of multipledrawing oppositereinforcing urns with timedependent replacement rules. The class has the symmetric property of a Friedmantype urn. We divide the class into a smallincrement regime and a largeincrement regime. For smallincrement schemes, we prove almostsure convergence and a central limit theorem for the proportion of white balls by stochastic approximation

Optimal control of supervisors balancing individual and joint responsibilities Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230120
Zhuoting Yu, Sigrún Andradóttir, Hayriye AyhanWe consider a twostage service system with two types of servers, namely subordinates who perform the firststage service and supervisors who have their own responsibilities in addition to collaborating with the subordinates on the secondstage service. Rewards are earned when first or secondstage service is completed and when supervisors finish one of their own responsibilities. Costs are incurred

Relationships between cumulative entropy/extropy, Gini mean difference and probability weighted moments Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230118
Sudheesh K. Kattumannil, E. P. Sreedevi, N. BalakrishnanIn this work, we establish a connection between the cumulative residual entropy and the Gini mean difference (GMD). Some relationships between the extropy and the GMD, and the truncated GMD and dynamic versions of the cumulative past extropy are also established. We then show that several entropy and extropy measures discussed here can be brought into the framework of probability weighted moments,

Option pricing under a doubleexponential jumpdiffusion model with varying severity of jumps Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230110
Xenos ChangShuo Lin, Daniel WeiChung Miao, YingI Lee, Yu ZhengThis paper extends the standard doubleexponential jumpdiffusion (DEJD) model to allow for successive jumps to bring about different effects on the asset price process. The doubleexponentially distributed jump sizes are no longer assumed to have the same parameters; instead, we assume that these parameters may take a series of different values to reflect growing or diminishing effects from these

Incorporating covariate into mean and covariance function estimation of functional data under a general weighing scheme Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230109
Xingyu Yan, Hao Wang, Hong Sun, Peng ZhaoThis paper develops the estimation method of mean and covariance functions of functional data with additional covariate information. With the strength of both local linear smoothing modeling and general weighing scheme, we are able to explicitly characterize the mean and covariance functions with incorporating covariate for irregularly spaced and sparsely observed longitudinal data, as typically encountered

On the dual risk model with Parisian implementation delays under a mixed dividend strategy Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230109
Kang Hu, Jingchao Li, Jieming ZhouIn this paper, we consider a mixed dividend strategy in a dual risk model. The mixed dividend strategy is the combination of a threshold dividend and a Parisian implementation delays dividend under periodic observation. Given a series of discrete observation points, when the surplus level is larger than the predetermined bonus barrier at observation point, the Parisian implementation delays dividend

Rotation in age patterns of mortality decline: statistical evidence and modeling Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20230109
Johnny SiuHang Li, Joseph H.T. KimIn the context of mortality forecasting, “rotation” refers to the phenomenon that mortality decline accelerates at older ages but decelerates at younger ages. Since rotation is typically subtle, it is difficult to be confirmed and modeled in a statistical, datadriven manner. In this paper, we attempt to overcome this challenge by proposing an alternative modeling approach. The approach encompasses

Asymptotics of a time bounded cylinder model Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221227
Nils Aschenbruck, Stephan Bussmann, Hanna DöringOne way to model telecommunication networks are static Boolean models. However, dynamics such as node mobility have a significant impact on the performance evaluation of such networks. Consider a Boolean model in $\mathbb {R}^d$ and a random direction movement scheme. Given a fixed time horizon $T>0$, we model these movements via cylinders in $\mathbb {R}^d \times [0,T]$. In this work, we derive central

Valuation of vulnerable European options with market liquidity risk Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221227
Yihao Pan, Dan Tang, Xingchun WangIn this paper, we investigate the pricing of vulnerable European options in a market where the underlying stocks are not perfectly liquid. A liquidity discount factor is used to model the effect of liquidity risk in the market, and the default risk of the option issuer is incorporated into the model using a reducedform model, where the default intensity process is correlated with the liquidity risk

A simple European option pricing formula with a skew Brownian motion Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221129
Puneet Pasricha, XinJiang HeZhu and He [(2018). A new closedform formula for pricing European options under a skew Brownian motion. The European Journal of Finance 24(12): 1063–1074] provided an innovative closedform solution by replacing the standard Brownian motion in the Black–Scholes framework using a particular skew Brownian motion. Their formula involves numerically integrating the product of the Guassian density and

Tsallis valueatrisk: generalized entropic valueatrisk Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221129
Zhenfeng Zou, Zichao Xia, Taizhong HuMotivated by AhmadiJavid (Journal of Optimization Theory Applications, 155(3), 2012, 1105–1123) and AhmadiJavid and Pichler (Mathematics and Financial Economics, 11, 2017, 527–550), the concept of Tsallis ValueatRisk (TsVaR) based on Tsallis entropy is introduced in this paper. TsVaR corresponds to the tightest possible upper bound obtained from the Chernoff inequality for the ValueatRisk. The

Optimal allocation of policy limits in layer reinsurance treaties Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221124
Chuchu Wang, Wei Wang, Yiying Zhang, Peng ZhaoLayer reinsurance treaty is a common form obtained in the problem of optimal reinsurance design. In this paper, we study allocations of policy limits in layer reinsurance treaties with dependent risks. We investigate the effects of orderings and heterogeneity among policy limits on the expected utility functions of the terminal wealth from the viewpoint of riskaverse insurers faced with right tail

Mean residual life order among largest order statistics arising from resiliencescale models with reduced scale parameters Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221122
Abedin Haidari, Mostafa Sattari, Ghobad BarmalzanIn this paper, we identify some conditions to compare the largest order statistics from resiliencescale models with reduced scale parameters in the sense of mean residual life order. As an example of the established result, the exponentiated generalized gamma distribution is examined. Also, for the special case of the scale model, powergeneralized Weibull and halfnormal distributions are investigated

Asset allocation for a DC pension plan with minimum guarantee constraint and hidden Markov regimeswitching Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221121
Liuling Luo, Xingchun PengThis paper is devoted to the study of the asset allocation problem for a DC pension plan with minimum guarantee constraint in a hidden Markov regimeswitching economy. Suppose that four types of assets are available in the financial market: a riskfree asset, a zerocoupon bond, an inflationindexed bond and a stock. The expected return rate of the stock depends on unobservable economic states, and

Resolving an open problem on the hazard rate ordering of pspacings Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221111
Mahdi AlimohammadiLet $V_{(r,n,\tilde {m}_n,k)}^{(p)}$ and $W_{(r,n,\tilde {m}_n,k)}^{(p)}$ be the $p$spacings of generalized order statistics based on absolutely continuous distribution functions $F$ and $G$, respectively. Imposing some conditions on $F$ and $G$ and assuming that $m_1=\cdots =m_{n1}$, Hu and Zhuang (2006. Stochastic orderings between pspacings of generalized order statistics from two samples. Probability

Analyzing a single hyperexponential working vacation queue from its governing difference equation Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221110
Miaomiao Yu, Yinghui TangAs the queue becomes exhausted, different maintenance tasks can be performed according to the fatigue load and wear degree of the service equipment. At the same time, considering the customer's sensitivity to time delay, the service facility will not completely remain inactive during the maintenance period. To describe this objectively existing phenomenon arising in the waiting line system, we consider

A class of nonzerosum stochastic differential games between two mean–variance insurers under stochastic volatility Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221102
Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming LiThis paper studies the openloop equilibrium strategies for a class of nonzerosum reinsurance–investment stochastic differential games between two insurers with a statedependent mean expectation in the incomplete market. Both insurers are able to purchase proportional reinsurance contracts and invest their wealth in a riskfree asset and a risky asset whose price is modeled by a general stochastic

Optimal design for network mutual aid Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221031
Jingchao Li, Zichen Fang, Ciyu Nie, Sizhe ChenNetwork mutual aid platforms is one of the popular risksharing models in recent years, and they have almost 200 million members in China. However, current mutual aid platforms does not satisfy the actuarial rules in either the apportionment method or the pricing principle. Hence, a variety of mutual aid models which enable mutual aid members with different risks to exchange their risks in a transparent

A negative binomial approximation in group testing Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221028
Letian Yu, Fraser Daly, Oliver JohnsonWe consider the problem of group testing (pooled testing), first introduced by Dorfman. For nonadaptive testing strategies, we refer to a nondefective item as “intruding” if it only appears in positive tests. Such items cause misclassification errors in the wellknown COMP algorithm and can make other algorithms produce an error. It is therefore of interest to understand the distribution of the number

On stochastic ordering among extreme shock models Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20221028
Sirous Fathi Manesh, Muhyiddin Izadi, BahaEldin KhalediIn the usual shock models, the shocks arrive from a single source. Bozbulut and Eryilmaz [(2020). Generalized extreme shock models and their applications. Communications in Statistics – Simulation and Computation 49(1): 110–120] introduced two types of extreme shock models when the shocks arrive from one of $m\geq 1$ possible sources. In Model 1, the shocks arrive from different sources over time.

Extreme Behaviors of the Tail GiniType Variability Measures Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220923
Hongfang Sun, Yu ChenFor a bivariate random vector $(X, Y)$, suppose $X$ is some interesting loss variable and $Y$ is a benchmark variable. This paper proposes a new variability measure called the joint tailGini functional, which considers not only the tail event of benchmark variable $Y$, but also the tail information of $X$ itself. It can be viewed as a class of tail Ginitype variability measures, which also include

Preservation properties of some reliability classes by lifetimes of coherent and mixed systems and their signatures Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220923
Salman Izadkhah, Ebrahim AminiSeresht, Narayanaswamy BalakrishnanThis paper examines the preservation of several aging classes of lifetime distributions in the formation of coherent and mixed systems with independent and identically distributed (i.i.d.) or identically distributed (i.d.) component lifetimes. The increasing mean inactivity time class and the decreasing mean time to failure class are developed for the lifetime of systems with possibly dependent and

Nonparametric estimation of some dividend problems in the perturbed compound Poisson model Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220909
Yang Yang, Jiayi Xie, Zhimin ZhangIn this paper, we consider some dividend problems in the perturbed compound Poisson model under a constant barrier dividend strategy. We approximate the expected present value of dividend payments before ruin and the expected discounted penalty function based on the COS method, and construct some nonparametric estimators by using a random sample on claim number and individual claim sizes. Under a large

The value of information and efficient switching in channel selection Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220825
Jiesen Wang, Yoni Nazarathy, Thomas TaimreWe consider a collection of statistically identical twostate continuous time Markov chains (channels). A controller continuously selects a channel with the view of maximizing infinite horizon average reward. A switching cost is paid upon channel changes. We consider two cases: full observation (all channels observed simultaneously) and partial observation (only the current channel observed). We analyze

Almost firstorder stochastic dominance by distorted expectations Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220812
Jianping Yang, Tian Zhou, Weiwei ZhuangAlmost stochastic dominance has been receiving a great amount of attention in the financial and economic literatures. In this paper, we characterize the properties of almost firstorder stochastic dominance (AFSD) via distorted expectations and investigate the conditions under which AFSD is preserved under a distortion transform. The main results are also applied to establish stochastic comparisons

Optimal singular dividend control with capital injection and affine penalty payment at ruin Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220812
Ran XuIn this paper, we extend the optimal dividend and capital injection problem with affine penalty at ruin in (Xu, R. & Woo, J.K. (2020). Insurance: Mathematics and Economics 92: 1–16) to the case with singular dividend payments. The asymptotic relationships between our value function to the one with bounded dividend density are studied, which also help to verify that our value function is a viscosity

Ordered multistate system signature and its dynamic version in evaluating used multistate systems Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220727
He Yi, Narayanaswamy Balakrishnan, Xiang LiSignature theory plays an important part in the field of reliability. In this paper, the ordered multistate system signature and its related properties are discussed based on a lifetest of independent and nonidentical coherent or mixed systems with independent and identical binarystate components. Dynamic properties of these systems are considered through a new notion called dynamic multistate

Scheduling servers in a twostage queue with abandonments and costs Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220720
Gabriel ZayasCabán, Amy L. CochranWe consider the assignment of servers to two phases of service in a twostage tandem queueing system when customers can abandon from each stage of service. New jobs arrive at both stations. Jobs arriving at station 1 may go through both phases of service and jobs arriving at station 2 may go through only one phase of service. Stagedependent holding and lumpsum abandonment costs are incurred. Continuoustime

Applications of the classical compound Poisson model with claim sizes following a compound distribution Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220714
Dechen Gao, Kristina P. SendovaIn this paper, we discuss a generalization of the classical compound Poisson model with claim sizes following a compound distribution. As applications, we consider models involving zerotruncated geometric, zerotruncated negativebinomial and zerotruncated binomial batchclaim arrivals. We also provide some ruinrelated quantities under the resulting risk models. Finally, through numerical examples

Varentropy of doubly truncated random variable Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220708
Akash Sharma, Chanchal KunduRecently, there is a growing interest to study the variability of uncertainty measure in information theory. For the sake of analyzing such interest, varentropy has been introduced and examined for onesided truncated random variables. As the interval entropy measure is instrumental in summarizing various system and its components properties when it fails between two time points, exploring variability

A valueatrisk approach to futures hedge Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220623
WanYi ChiuThis paper examines the valueatrisk (VaR) implications of meanvariance hedging. We derive an equivalence between the VaRbased hedge and the meanvariance hedging. This method transfers the investor's subjective riskaversion coefficient into the estimated VaR measure. As a result, we characterize the collapse probability bounds under which the VaRbased hedge could be insignificantly different

Equivalency of multistate survival signatures of multistate systems of different sizes and its use in the comparison of systems Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 20220610
He Yi, Narayanaswamy Balakrishnan, Xiang LiIn this paper, the multistate survival signature is first redefined for multistate coherent or mixed systems with independent and identically distributed (i.i.d.) multistate components. With the assumption of independence of component lifetimes at different state levels, transformation formulas of multistate survival signatures of different sizes are established through the use of equivalent systems