Comparison methods for stochastic models and risks
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Inequalities; stochastic orderings (60E15) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Reliability, availability, maintenance, inspection in operations research (90B25)
It is not an easy task to write a book on stochastic orders and their applications because the theory of stochastic orders is still in intensive development and has many important fields of applications. The authors have written a very timely and methodologically oriented book on stochastic orders and their applications which can be used by a wide spectrum of readers and users in applied probability and statistics, reliability, queueing theory, economics and finance, and actuarial science. The book contains eight chapters. Contents of chapters are: 1. Univariate stochastic orders (including several common used stochastic orders, interrelationships among them, bivariate characterizations and aging notions of life distributions); 2. Theory of integral stochastic orders (from a very general viewpoint, including maximal and small generators, preservation properties of orders from their generators, and Strassen theorem); 3. Multivariate stochastic orders (including the possible generalizations of the usual stochastic order, multivariate variability orders like convex order and its generalizations, an extensive treatment of dependence orders and characterizations of dependence structures of random vectors, and stochastic ordering of multivariate normal distributions); 4. Stochastic models, comparison and monotonicity (including general principles for deriving comparison and monotonicity results for stochastic models); 5. Monotonicity and comparability of stochastic processes (including a thorough survey on comparison properties of Markov processes (especially, Markov chains), and some comparison results for non-Markov processes and point processes); 6. Monotonicity properties and bounds for queueing systems (including the classical applications of stochastic orders in queueing systems, and some examples for the application of dependence orders); 7. Applications to various stochastic models (including some applications of stochastic orders in reliability theory, statistical physics, scheduling and others); 8. Comparing risks (including applications in economics and actuarial science).
- Stochastic comparison of generalized combined risk processes
- Comparison of combined stochastic risk processes and its applications
- New stochastic comparisons based on tail value at risk measures
- Comparative statics tests between decision models under risk
- COMPARISON OF ESTIMATION METHODS FOR VALUE-AT-RISK
- Comparing risks with reference points: a stochastic dominance approach
- Comparison of MCMC methods for estimating stochastic volatility models
- Evaluations of risk measures for different probability measures
- scientific article; zbMATH DE number 2092196
- Evaluating a warm standby system with components having proportional hazard rates
- Dependence in failure times due to environmental factors
- On the relationship of location-independent riskier order to the usual stochastic order
- Likelihood ratio order of the second order statistic from independent heterogeneous exponential random variables
- Loss bounds for a finite-capacity queue based on interval-wise traffic observation
- Stochastic comparison and monotonicity of inactive record values
- On representations of 2-increasing binary aggregation functions
- Stochastic comparisons of multivariate frailty models
- Multivariate dependence of spacings of generalized order statistics
- Risk neutral and risk averse power optimization in electricity networks with dispersed generation
- Characterizations of exponentiality within the HNBUE class and related tests
- On the discrete-time compound renewal risk model with dependence
- To split or not to split: Capital allocation with convex risk measures
- A note on convolutions of compound geometric distributions
- The simplex dispersion ordering and its application to the evaluation of human corneal endothelia
- Visibility in the Boolean model
- Optimal allocation of policy limits and deductibles under distortion risk measures
- A general multidimensional Hermite-Hadamard type inequality
- Stochastic comparisons of multivariate mixture models
- Mean residual life order of convolutions of heterogeneous exponential random variables
- Risk preference modeling with conditional average: An application to portfolio optimization
- Inequality measures and equitable locations
- Hessian orders and multinormal distributions
- Association of progressively type-II censored order statistics
- Idempotent version of the Fréchet contingency array problem
- On hazard rate ordering of the sums of heterogeneous geometric random variables
- Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
- Stochastic orders and applications. A classified bibliography. With the collaboration of Rainer Dyckerhoff and Hartmut Holz
- Stochastic ordering and dependence in applied probability
- Dependence structure of sojourn times via partition separated ordering
- Risk management in credit risk portfolios with correlated assets.
- Ordering ruin probabilities for dependent claim streams.
- On the interplay between variability and negative dependence for bivariate distributions.
- A connection between supermodular ordering and positive/negative association.
- Order relations of measures when avoiding decreasing sets.
- A stochastic order for random vectors and random sets based on the Aumann expectation.
- Further developments on sufficient conditions for negative dependence of random variables.
- Comparison of risks based on the expected proportional shortfall
- VaR bounds in models with partial dependence information on subgroups
- On capital allocation for stochastic arrangement increasing actuarial risks
- Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models
- Expectiles, omega ratios and stochastic ordering
- Arrangement increasing resource allocation
- Stochastic dominance with imprecise information
- Reverse auctions with regret-anticipated bidders
- A stochastic order for the analysis of investments affected by the time value of money
- Making classifier performance comparisons when ROC curves intersect
- Multiple stopping time POMDPs: structural results \& application in interactive advertising on social media
- Copula-based measurement of interdependence for discrete distributions
- Reverse sensitivity testing: what does it take to break the model?
- Preservation of increasing convex/concave order under the formation of parallel/series system of dependent components
- Optimal insurance design under background risk with dependence
- Evaluating the quality of online optimization algorithms by discrete event simulation
- Peakedness and convex ordering for elliptically contoured random fields
- Cone distribution functions and quantiles for multivariate random variables
- Weighted sampling without replacement
- Sklar's theorem in an imprecise setting
- On finite exchangeable sequences and their dependence
- Some comparison results for finite-time ruin probabilities in the classical risk model
- Time traps in supply chains: is optimal still good enough?
- Capturing preferences for inequality aversion in decision support
- Book review of: F. Belzunce et al., An introduction to stochastic orders
- Preservation of weak stochastic arrangement increasing under fixed time left-censoring
- Inventory pooling with environmental constraints using copulas
- Integrated quantile functions: properties and applications
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Stochastic orders and co-risk measures under positive dependence
- Pre-positioning of relief inventories for non-profit organizations: a newsvendor approach
- Robust multicriteria risk-averse stochastic programming models
- Robust comparative statics for non-monotone shocks in large aggregative games
- On joint weak reversed hazard rate order under symmetric copulas
- Portfolio selection strategy for fixed income markets with immunization on average
- Improved Fréchet-Hoeffding bounds on d-copulas and applications in model-free finance
- Stochastic orders to approach investments in condor financial derivatives
- Ordering results for order statistics from two heterogeneous Marshall-Olkin generalized exponential distributions
- First-order dominance: stronger characterization and a bivariate checking algorithm
- Reliability analysis of the proportional mean residual life order
- Further results on dynamic additive hazard rate model
- Increasing mean inactivity time ordering: a quantile approach
- Timing portfolio strategies with exponential Lévy processes
- Lift expectations of random sets
- Stochastic comparisons on two finite mixture models
- Development on the mean inactivity time order with applications
- On the use of conditional expectation in portfolio selection problems
- Modeling stochastic dominance as infinite-dimensional constraint systems via the Strassen theorem
- The total time on test transform and the decreasing percentile residual life aging notion
- Further results on closure properties of LPQE order
- Combination of mean residual life order with reliability applications
- Two-stage absolute semi-deviation mean-risk stochastic programming: an application to the supply chain replenishment problem
- Decomposing bivariate dominance for social welfare comparisons
- Bounded size biased couplings, log concave distributions and concentration of measure for occupancy models
- Models for the assessment of treatment improvement: the ideal and the feasible
- Robust decision making using a general utility set
- Cost reduction through operations reversal
- On total positivity of exchangeable random variables obtained by symmetrization, with applications to failure-dependent lifetimes
- Risk-averse two-stage stochastic programming with an application to disaster management
- A further study on correlation order
- Some stochastic orders of Kotz-type distributions
- Simple probability models for project contracting
- Archimedean copulae and positive dependence
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