We develop an observation that a simulation method introduced recently for heavy-tailed stochastic simulation, namely hazard-rate twisting, is equivalent to doing exponential twisting on a transformed version of the heavy-tailed random-variable; the transforming function is the hazard function. Using this approach, the paper develops efficient methods for computing portfolio value-at-risk (VAR)...

Information about the survival experience for a group of patients is almost exclusively conveyed using plots of the survival function. However, the hazard function provides information about the survival experience that is not readily evident from inspection of the survival function. The hazard function tracks the instantaneous failure rate over time among the surviving patients and can be read...

We model how a judge schedules cases as a multi-armed bandit problem. The model indicates that a first-in-first-out (FIFO) scheduling policy is optimal when the case completion hazard rate function is monotonic. But there are two ways to implement FIFO in this context: at the hearing level or at the case level. Our model indicates that the former policy, prioritizing the oldest hearing, is opti...

In this article, we introduce a new generalized family of Esscher transformed Laplace distribution, namely the Kumaraswamy distribution. We study various properties distribution including survival function, hazard rate cumulative function and reverse function. The parameters are estimated using maximum likelihood method estimation. A real application on breaking stress carbon fibres is also con...

In this research, a study was carried out to exploit the hybrid schemes combining two classical local search techniques i.e. Nelder–Mead simplex search method and bidirectional random optimization with two metaheuristic methods i.e. the shuffled frog leaping and the shuffled complex evolution, respectively. In this hybrid methodology, each subset of meta-heuristic algorithms is improved by a hy...