样式: 排序: IF: - GO 导出 标记为已读
-
Some properties of convex and increasing convex orders under Archimedean copula Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2024-03-05 Qingyuan Guan, Bing Xing Wang
In this paper, the ordering properties of convex and increasing convex orders of the dependent random variables are studied. Some closure properties of the convex and increasing convex orders under independent random variables are extended to the dependent random variables under the Archimedean copula. Two applications are provided to illustrate our results.
-
Analyzing the multi-state system under a run shock model Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2024-02-16 Murat Ozkut, Cihangir Kan, Ceki Franko
A 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 multi-state
-
General distributions of number representation elements Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2024-02-07 Félix Balado, Guénolé C. M. Silvestre
We provide general expressions for the joint distributions of the k most significant b-ary 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
-
Log-concavity and relative log-concave ordering of compound distributions Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2024-01-29 Wanwan Xia, Wenhua Lv
In 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 log-concave order. The necessary and sufficient condition for a compound distribution to be log-concave is also discussed, including compound geometric distribution, compound negative binomial distribution and compound binomial
-
A queueing system with an SIR-type infection Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2024-01-16 Claude Lefèvre, Matthieu Simon
We consider the propagation of a stochastic SIR-type 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 : 2024-01-12 Yitong Zhang, Xiuli Xu, Pei Zhao, Mingxin Liu
This 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
-
Game-theoretic policy computing and simulation for blockchained buffering system via diffusion approximation Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2024-01-12 Wanyang Dai
We study 2-stage game-theoretic problem oriented 3-stage 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 game-theoretic problem consisting of both “win-lose” and “win-win” 2-stage competitions, we derive a 3-stage 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 : 2024-01-11 M. Mohammadi, M. Hashempour, O. Kamari
In 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 : 2023-12-15 Antonella Iuliano, Barbara Martinucci, Verdiana Mustaro
We 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 δ-shock 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 : 2023-12-01 Yang Liu, Ke-Ang Fu, Zhenlong Chen
In 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 inter-arrival time and the claim-size 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 : 2023-10-20 Yunna Han, Ruiling Tian, Xinyu Wu, Liuqing He
This 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 : 2023-10-19 Omid Kharazmi, Narayanaswamy Balakrishnan
The 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 time-transformed exponential models Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-10-05 Subhash Kochar, Fabio L. Spizzichino
Let $(X_{1},\ldots,X_{n})$ be a random vector distributed according to a time-transformed exponential model. This is a special class of exchangeable models, which, in particular, includes multivariate distributions with Schur-constant survival functions. Let for $1\leq i\leq n$ , $X_{i:n}$ denote the corresponding ith-order 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 : 2023-10-02 Morteza Soltani, Jeffrey P. Kharoufeh, Amin Khademi
We 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 : 2023-09-18 Ji Hwan Cha, Maxim Finkelstein
In 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 GPP-repaired with the complementary probability. Characterization of the new process via the corresponding bivariate
-
Worst-case Omega ratio under distribution uncertainty with its application in robust portfolio selection Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-08-01 Qiuyang Li, Xinqiao Xie
Omega ratio, a risk-return 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 worst-case 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 : 2023-07-25 Lirong Cui, He Yi, Weixin Jiang
Finite 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 well-known that limiting measures such as availability and transition probability do
-
Disparity-persistence and the multistep friendship paradox Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-07-25 Kenneth S. Berenhaut, Chi M. Zhang
In this paper, we consider the friendship paradox in the context of random walks and paths. Among our results, we give an equality connecting long-range degree correlation, degree variability, and the degree-wise 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 core-periphery structure.
-
Percolation in simple directed random graphs with a given degree distribution Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-05-05 Femke van Ieperen, Ivan Kryven
We 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 : 2023-04-04 Arindam Panja, Pradip Kundu, Nil Kamal Hazra, Biswabrata Pradhan
In 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 : 2023-03-10 Majid Hashempour, Morteza Mohammadi
We 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 2-choices rule Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-03-10 Arpan Mukhopadhyay
We 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 tree-based methods for short-term insurance claims Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-03-08 Zhiyu Quan, Zhiguo Wang, Guojun Gan, Emiliano A. Valdez
Two-part framework and the Tweedie generalized linear model (GLM) have traditionally been used to model loss costs for short-term 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 tree-based methods
-
A new lifetime distribution by maximizing entropy: properties and applications Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-02-28 Ali Khosravi Tanak, Marziyeh Najafi, G.R. Mohtashami Borzadaran
The principle of maximum entropy is a well-known approach to produce a model for data-generating 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 three-parameter lifetime distribution using the
-
Overlap times in the infinite server queue Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-02-23 Sergio Palomo, Jamol Pender
Imagine, 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 steady-state distribution of the overlap time between a pair of customers and the distribution
-
A closed-form approximation for pricing spread options on futures under a mean-reverting spot price model with multiscale stochastic volatility Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-02-20 Seung-Yong Baek, Jeong-Hoon Kim
Commodity spot prices tend to revert to some long-term 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 mean-reverting process. The volatility of the mean-reverting process is driven by two different (fast and slow) scale factors. We use asymptotic analysis
-
Method-of-moments estimators of a scale parameter based on samples from a coherent system Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-02-16 Claudio Macci, Jorge Navarro
In 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 multi-hooking networks Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-02-13 Kiran R. Bhutani, Ravi Kalpathy, Hosam Mahmoud
We introduce a broad class of multi-hooking 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 multi-hooking networks by tracking two kinds of node degrees—the local average degree of a specific node over time and the global overall average degree
-
Pareto-optimal reinsurance with default risk and solvency regulation Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-02-03 Tim J. Boonen, Wenjun Jiang
This paper studies a Pareto-optimal 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 end-of-period wealth is insufficient to cover the indemnity. We show that without the solvency regulation, the optimal indemnity function is of excess-of-loss form, regardless
-
Multiple-drawing dynamic Friedman urns with opposite-reinforcement Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-01-26 Shuyang Gao, Rafik Aguech
In this study, we consider a class of multiple-drawing opposite-reinforcing urns with time-dependent replacement rules. The class has the symmetric property of a Friedman-type urn. We divide the class into a small-increment regime and a large-increment regime. For small-increment schemes, we prove almost-sure 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 : 2023-01-20 Zhuoting Yu, Sigrún Andradóttir, Hayriye Ayhan
We consider a two-stage service system with two types of servers, namely subordinates who perform the first-stage service and supervisors who have their own responsibilities in addition to collaborating with the subordinates on the second-stage service. Rewards are earned when first- or second-stage 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 : 2023-01-18 Sudheesh K. Kattumannil, E. P. Sreedevi, N. Balakrishnan
In 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 double-exponential jump-diffusion model with varying severity of jumps Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2023-01-10 Xenos Chang-Shuo Lin, Daniel Wei-Chung Miao, Ying-I Lee, Yu Zheng
This paper extends the standard double-exponential jump-diffusion (DEJD) model to allow for successive jumps to bring about different effects on the asset price process. The double-exponentially 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 : 2023-01-09 Xingyu Yan, Hao Wang, Hong Sun, Peng Zhao
This 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 : 2023-01-09 Kang Hu, Jingchao Li, Jieming Zhou
In 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 : 2023-01-09 Johnny Siu-Hang Li, Joseph H.T. Kim
In 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, data-driven 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 : 2022-12-27 Nils Aschenbruck, Stephan Bussmann, Hanna Döring
One 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 : 2022-12-27 Yihao Pan, Dan Tang, Xingchun Wang
In 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 reduced-form 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 : 2022-11-29 Puneet Pasricha, Xin-Jiang He
Zhu and He [(2018). A new closed-form formula for pricing European options under a skew Brownian motion. The European Journal of Finance 24(12): 1063–1074] provided an innovative closed-form 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 value-at-risk: generalized entropic value-at-risk Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-11-29 Zhenfeng Zou, Zichao Xia, Taizhong Hu
Motivated by Ahmadi-Javid (Journal of Optimization Theory Applications, 155(3), 2012, 1105–1123) and Ahmadi-Javid and Pichler (Mathematics and Financial Economics, 11, 2017, 527–550), the concept of Tsallis Value-at-Risk (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 Value-at-Risk. The
-
Optimal allocation of policy limits in layer reinsurance treaties Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-11-24 Chuchu Wang, Wei Wang, Yiying Zhang, Peng Zhao
Layer 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 risk-averse insurers faced with right tail
-
Mean residual life order among largest order statistics arising from resilience-scale models with reduced scale parameters Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-11-22 Abedin Haidari, Mostafa Sattari, Ghobad Barmalzan
In this paper, we identify some conditions to compare the largest order statistics from resilience-scale 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, power-generalized Weibull and half-normal distributions are investigated
-
Asset allocation for a DC pension plan with minimum guarantee constraint and hidden Markov regime-switching Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-11-21 Liuling Luo, Xingchun Peng
This paper is devoted to the study of the asset allocation problem for a DC pension plan with minimum guarantee constraint in a hidden Markov regime-switching economy. Suppose that four types of assets are available in the financial market: a risk-free asset, a zero-coupon bond, an inflation-indexed 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 p-spacings Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-11-11 Mahdi Alimohammadi
Let $V_{(r,n,\tilde {m}_n,k)}^{(p)}$ 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 $m_1=\cdots =m_{n-1}$, Hu and Zhuang (2006. Stochastic orderings between p-spacings of generalized order statistics from two samples. Probability
-
Analyzing a single hyper-exponential working vacation queue from its governing difference equation Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-11-10 Miaomiao Yu, Yinghui Tang
As 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 non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-11-02 Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li
This paper studies the open-loop equilibrium strategies for a class of non-zero-sum reinsurance–investment stochastic differential games between two insurers with a state-dependent mean expectation in the incomplete market. Both insurers are able to purchase proportional reinsurance contracts and invest their wealth in a risk-free 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 : 2022-10-31 Jingchao Li, Zichen Fang, Ciyu Nie, Sizhe Chen
Network mutual aid platforms is one of the popular risk-sharing 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 : 2022-10-28 Letian Yu, Fraser Daly, Oliver Johnson
We 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 well-known 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 : 2022-10-28 Sirous Fathi Manesh, Muhyiddin Izadi, Baha-Eldin Khaledi
In 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 Gini-Type Variability Measures Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-09-23 Hongfang Sun, Yu Chen
For 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 tail-Gini 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 Gini-type 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 : 2022-09-23 Salman Izadkhah, Ebrahim Amini-Seresht, Narayanaswamy Balakrishnan
This 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 : 2022-09-09 Yang Yang, Jiayi Xie, Zhimin Zhang
In 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 : 2022-08-25 Jiesen Wang, Yoni Nazarathy, Thomas Taimre
We consider a collection of statistically identical two-state 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 first-order stochastic dominance by distorted expectations Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-08-12 Jianping Yang, Tian Zhou, Weiwei Zhuang
Almost 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 first-order 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 : 2022-08-12 Ran Xu
In 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 multi-state system signature and its dynamic version in evaluating used multi-state systems Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-07-27 He Yi, Narayanaswamy Balakrishnan, Xiang Li
Signature theory plays an important part in the field of reliability. In this paper, the ordered multi-state system signature and its related properties are discussed based on a life-test of independent and non-identical coherent or mixed systems with independent and identical binary-state components. Dynamic properties of these systems are considered through a new notion called dynamic multi-state
-
Scheduling servers in a two-stage queue with abandonments and costs Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-07-20 Gabriel Zayas-Cabán, Amy L. Cochran
We consider the assignment of servers to two phases of service in a two-stage 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. Stage-dependent holding and lump-sum abandonment costs are incurred. Continuous-time
-
Applications of the classical compound Poisson model with claim sizes following a compound distribution Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-07-14 Dechen Gao, Kristina P. Sendova
In 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 zero-truncated geometric, zero-truncated negative-binomial and zero-truncated binomial batch-claim arrivals. We also provide some ruin-related 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 : 2022-07-08 Akash Sharma, Chanchal Kundu
Recently, 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 one-sided 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 value-at-risk approach to futures hedge Probab. Eng. Inf. Sci. (IF 1.1) Pub Date : 2022-06-23 Wan-Yi Chiu
This paper examines the value-at-risk (VaR) implications of mean-variance hedging. We derive an equivalence between the VaR-based hedge and the mean-variance hedging. This method transfers the investor's subjective risk-aversion coefficient into the estimated VaR measure. As a result, we characterize the collapse probability bounds under which the VaR-based hedge could be insignificantly different