Stochastic comparisons of symmetric supermodular functions of heterogeneous random vectors

DOI10.1239/JAP/1371648954MaRDI QIDQ5299571zbMATH OpenOpenAlexFDO

Authors Franco Pellerey, Antonio Di Crescenzo, Esther Frostig

Publication date 26 June 2013

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1371648954

zbMATH Keywords

cyclic queueing networkdirectionally convex functionincreasing convex orderreliabilityrisks portfolioseries systemsupermodular function

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Queueing theory (aspects of probability theory) (60K25)

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Cites work

• An Introduction to Queueing Theory and Matrix-Analytic Methods
• Closed Queuing Systems with Exponential Servers
• Comparison of increasing directionally convex transformations of random vectors with a common copula
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• Foundations of mathematical economics
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• scientific article; zbMATH DE number 964400 (Why is no real title available?)
• Improving series and parallel systems through mixtures of duplicated dependent components
• Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data
• Inequalities for stochastic models via supermodular orderings
• Inequalities: theory of majorization and its applications
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Monotone methods for Markovian equilibrium in dynamic economies
• Monotonicity and supermodularity results for the Erlang loss system
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• Stochastic comparisons of series and parallel systems with randomized independent components
• Stochastic convexity on general space
• Stop-loss order for portfolios of dependent risks
• Supermodular comparison of time-to-ruin random vectors

Cited in

(5)

• Supermodular stochastic orders and positive dependence of random vectors
• Some results on series and parallel systems of randomized components
• Supermodular comparison of time-to-ruin random vectors
• Inequalities for stochastic models via supermodular orderings
• General Marshall-Olkin models, dependence orders, and comparisons of environmental processes

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