Random vectors with HNBUE-type marginal distributions

DOI10.1016/S0167-7152(00)00102-4MaRDI QIDQ1591165zbMATH OpenFDO

Authors Franco Pellerey

Publication date 2 May 2001

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

Full work available at URL https://doi.org/10.1016/S0167-7152(00)00102-4

zbMATH Keywords

ageing notionsconvergence in lawHNBUEmoment convergencemultivariate life distributionsnonparametric life distribution classesportfolio theorystochastic orders

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Nonparametric inference (62G99) Survival analysis and censored data (62N99)

Review text

The paper focuses on the preservation problem for nonparametric life distribution classes under addition of life lengths. The author investigates one of the largest of these life distribution classes, namely the class of Harmonic New Better than Used in Expectation (HNBUE). The main result of this note is to prove, using a stochastic order representation of HNBUE distributions, that the closure under addition property for the HNBUE class continues to hold even when removing the assumption of independence among summands. A consequence of this result is that the distribution of a random vector with HNBUE marginal distributions is uniquely determined by its mixed moments of positive order. Another derived result is that the family of random vectors with HNBUE marginal distributions is closed under convergence in law, and that convergence in law is equivalent to convergence of moments. An application of these results to portfolio choice theory shows that any diversified portfolio of non-independent prospects is preferred to specialized portfolios by every risk averter individual.

Recommendations

• Multivariate harmonic new better than used in expectation distributions
• Some results involving HNBUE distributions
• On weak convergence within the hnbue family of life distributions
• The generalized HNBUE (HNWUE) class of life distributions
• On k-order harmonic new better than used in expectation distributions

Cites work

• A class of multivariate new better than used distributions
• A useful ageing property based on the Laplace transform
• scientific article; zbMATH DE number 3810718 (Why is no real title available?)
• scientific article; zbMATH DE number 3181396 (Why is no real title available?)
• scientific article; zbMATH DE number 3591262 (Why is no real title available?)
• scientific article; zbMATH DE number 502871 (Why is no real title available?)
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• On weak convergence within a family of life distributions
• On weak convergence within a Lorenz ordering family of distributions
• On weak convergence within the hnbue family of life distributions
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• Some results involving HNBUE distributions
• The hnbue and hnwue classes of life distributions

Cited in

(7)

• Stochastic orders in time transformed exponential models with applications
• The preservation of classes of discrete distributions under convolution and mixing
• On testing the dilation order and HNBUE alternatives
• Modeling of discrete HNBUE class with hypothesis testing application
• On a risk measure inspired from the ruin probability and the expected deficit at ruin
• Some properties of ageing notions based on the moment-generating-function order
• Stochastic comparisons for time transformed exponential models

This page was built for publication: Random vectors with HNBUE-type marginal distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1591165)