Zobrazeno 1 - 10
of 55
pro vyhledávání: '"Miguel A. Sordo"'
Publikováno v:
Mathematics, Vol 9, Iss 9, p 981 (2021)
The aim of this paper is twofold. First, we show that the expectation of the absolute value of the difference between two copies, not necessarily independent, of a random variable is a measure of its variability in the sense of Bickel and Lehmann (19
Externí odkaz:
https://doaj.org/article/c7c726769bde4adaa54712296473979c
Publikováno v:
Mathematics, Vol 9, Iss 6, p 618 (2021)
Relative spacings are relative differences between order statistics. In this context, we extend previous results concerning the increasing convex order of relative spacings of two distributions from the case of consecutive spacings to general spacing
Externí odkaz:
https://doaj.org/article/022e789398204725bb0e581fa2127797
Publikováno v:
Mathematics, Vol 9, Iss 1, p 81 (2020)
New weak notions of positive dependence between the components X and Y of a random pair (X,Y) have been considered in recent papers that deal with the effects of dependence on conditional residual lifetimes and conditional inactivity times. The purpo
Externí odkaz:
https://doaj.org/article/e73a4ef502a540c2880e435a07731cba
Publikováno v:
Mathematics, Vol 8, Iss 7, p 1181 (2020)
The tail value at risk at level p, with p ∈ ( 0 , 1 ) , is a risk measure that captures the tail risk of losses and asset return distributions beyond the p quantile. Given two distributions, it can be used to decide which is riskier. When the tail
Externí odkaz:
https://doaj.org/article/a344490b8e3c49eb86e66698cc7ec459
Publikováno v:
Probability in the Engineering and Informational Sciences. 37:192-205
We obtain here sufficient conditions for increasing concave order and location independent more riskier order of lower record values based on stochastic comparisons of minimum order statistics. We further discuss stochastic orderings of lower record
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::910cefae8e755e914f311023c8e3cbc8
https://doi.org/10.1017/s026996482100053x
https://doi.org/10.1017/s026996482100053x
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::92b772c24d79103e595a14e4ef8098ec
https://doi.org/10.2139/ssrn.4331559
https://doi.org/10.2139/ssrn.4331559
Publikováno v:
Building Bridges between Soft and Statistical Methodologies for Data Science ISBN: 9783031155086
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab8667f4db615e2338d746f7531ff602
https://doi.org/10.1007/978-3-031-15509-3_41
https://doi.org/10.1007/978-3-031-15509-3_41
Publikováno v:
Insurance: Mathematics and Economics. 96:199-207
Co-risk measures and risk contributions measures are used in portfolio risk analysis to assess and quantify the risk of contagion, given that one or more assets in the portfolio are in distress. In this paper, given two random vectors X and Y that re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::47cd0a8f92edfc94a2bdfa2d347d1d97
https://doi.org/10.1016/j.insmatheco.2020.11.008
https://doi.org/10.1016/j.insmatheco.2020.11.008
Autor:
Miguel A. Sordo, Antonio Arriaza
Publikováno v:
Applied Stochastic Models in Business and Industry. 37:303-317
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d51cfd05002cdc41d8857709934cb7c3
https://doi.org/10.1002/asmb.2565
https://doi.org/10.1002/asmb.2565
Publikováno v:
ASTIN Bulletin. 50:1037-1064
We present a method for constructing and interpreting weighted premium principles. The method is based on modifying the underlying risk distribution in such a way that the risk-adjusted expected value (or premium) is greater than the expected value o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c09104a60fef667bdac892fa9d3f5c5f
https://doi.org/10.1017/asb.2020.15
https://doi.org/10.1017/asb.2020.15