Almost first-order stochastic dominance by distorted expectations

IF 0.7 3区工程技术 Q4 ENGINEERING, INDUSTRIAL

Probability in the Engineering and Informational Sciences Pub Date : 2022-08-12 DOI:10.1017/s0269964822000250

Jianping Yang, Tian Zhou, Weiwei Zhuang

引用次数: 0

Abstract

Almost stochastic dominance has been receiving a great amount of attention in the financial and economic literatures. In this paper, we characterize the properties of almost first-order stochastic dominance (AFSD) via distorted expectations and investigate the conditions under which AFSD is preserved under a distortion transform. The main results are also applied to establish stochastic comparisons of order statistics and receiver operating characteristic curves via AFSD.

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几乎是一阶随机优势的扭曲预期

在金融和经济文献中，几乎随机优势一直受到广泛关注。本文通过畸变期望刻画了几乎一阶随机优势性的性质，并研究了在畸变变换下几乎一阶随机优势性保持的条件。主要结果还应用于通过AFSD建立顺序统计量和接收机工作特性曲线的随机比较。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Probability in the Engineering and Informational Sciences 数学-工程：工业

CiteScore

2.20

自引率

18.20%

发文量

审稿时长

>12 weeks

期刊介绍： The primary focus of the journal is on stochastic modelling in the physical and engineering sciences, with particular emphasis on queueing theory, reliability theory, inventory theory, simulation, mathematical finance and probabilistic networks and graphs. Papers on analytic properties and related disciplines are also considered, as well as more general papers on applied and computational probability, if appropriate. Readers include academics working in statistics, operations research, computer science, engineering, management science and physical sciences as well as industrial practitioners engaged in telecommunications, computer science, financial engineering, operations research and management science.