منابع مشابه
Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders
A stochastic tail order is introduced to compare right tails of distributions and related closure properties are established. The stochastic tail order is then used to compare the dependence structure of multivariate extreme value distributions in terms of upper tail behaviors of their underlying samples.
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In the literature on Statistical Reliability Theory and Stochastic Orders, several results based on theory of TP2/RR2 functions have been extensively used in establishing various properties. In this paper, we provide a review of some useful results in this direction and highlight connections between them.
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Since the emergence of power market, the target of power generating utilities has mainly switched from cost minimization to revenue maximization. They dispatch their power energy generation units in the uncertain environment of power market. As a result, multi-stage stochastic programming has been applied widely by many power generating agents as a suitable tool for dealing with self-scheduling...
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We consider a dynamic reinsurance market, where the traded risk process is driven by a jump-diffusion and where claim amounts are unbounded. These markets are known to be incomplete, and there are typically infinitely many martingale measures. In this case, no-arbitrage pricing theory can typically only provide wide bounds on prices of reinsurance claims. Optimal martingale measures such as the...
متن کاملCharacterization of stochastic orders by L-functionals1
Random variables may be compared with respect to their location by comparing certain functionals ad hoc, such as the mean or median, or by means of stochastic ordering based directly on the properties of the corresponding distribution functions. These alternative approaches are brought together in this paper. We focus on the class of L-functionals discussed by Bickel and Lehmann (1975) and char...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2006
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2004.11.006