Preservation of weak SAI's under increasing transformations with applications

DOI10.1016/J.SPL.2020.108828zbMATH Open1455.60034OpenAlexW3028003203MaRDI QIDQ2006770FDOQ2006770

Chen Li, Xiaohu Li

Publication date: 12 October 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108828

zbMATH Keywords

hazard rate orderarrangement increasingIHRthreshold default model

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Cites Work

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• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management
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• On capital allocation for stochastic arrangement increasing actuarial risks
• Ordering scalar products with applications in financial engineering and actuarial science
• Increasing convex order on generalized aggregation of SAI random variables with applications
• On allocation of redundant components for systems with dependent components
• Allocating active redundancies to k‐out‐of‐n reliability systems with permutation monotone component lifetimes
• ON WEIGHTED K-OUT-OF-N SYSTEMS WITH STATISTICALLY DEPENDENT COMPONENT LIFETIMES
• Preservation of weak stochastic arrangement increasing under fixed time left-censoring
• Joint stochastic orders of high degrees and their applications in portfolio selections
• Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns

Cited In (1)

• On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes

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