Probability in the Engineering and Informational Sciences最新文献_第3页

On the combined imperfect repair process 关于不完美的修补过程

3区工程技术

Probability in the Engineering and Informational Sciences Pub Date : 2023-09-18 DOI: 10.1017/s0269964823000177

Ji Hwan Cha, Maxim Finkelstein

引用次数: 0

Worst-case Omega ratio under distribution uncertainty with its application in robust portfolio selection 分布不确定性下的最坏情况Omega比率及其在稳健投资组合选择中的应用

IF 1.1 3区工程技术

Probability in the Engineering and Informational Sciences Pub Date : 2023-08-01 DOI: 10.1017/s0269964823000141

Qiuyang Li, Xinqiao Xie

引用次数: 0

Disparity-persistence and the multistep friendship paradox 差距-坚持和多步骤友谊悖论

IF 1.1 3区工程技术

Probability in the Engineering and Informational Sciences Pub Date : 2023-07-25 DOI: 10.1017/s026996482300013x

K. Berenhaut, Chi M. Zhang

引用次数: 0

Asymptotic behaviors of aggregated Markov processes 聚合马尔可夫过程的渐近行为

IF 1.1 3区工程技术

Probability in the Engineering and Informational Sciences Pub Date : 2023-07-25 DOI: 10.1017/s0269964823000153

L. Cui, He Yi, Weixin Jiang

{"title":"Asymptotic behaviors of aggregated Markov processes","authors":"L. Cui, He Yi, Weixin Jiang","doi":"10.1017/s0269964823000153","DOIUrl":"https://doi.org/10.1017/s0269964823000153","url":null,"abstract":"\u0000 Finite state Markov processes and their aggregated Markov processes have been extensively studied, especially in ion channel modeling and reliability modeling. In reliability field, the asymptotic behaviors of repairable systems modeled by both processes have been paid much attention to. For a Markov process, it is well-known that limiting measures such as availability and transition probability do not depend on the initial state of the process. However, for an aggregated Markov process, it is difficult to directly know whether this conclusion holds true or not from the limiting measure formulas expressed by the Laplace transforms. In this paper, four limiting measures expressed by Laplace transforms are proved to be independent of the initial state through Tauber’s theorem. The proof is presented under the assumption that the rank of transition rate matrix is one less than the dimension of state space for the Markov process, which includes the case that all states communicate with each other. Some numerical examples and discussions based on these are presented to illustrate the results directly and to show future related research topics. Finally, the conclusion of the paper is given.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2023-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74657719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Percolation in simple directed random graphs with a given degree distribution 具有给定度分布的简单有向随机图中的渗流

IF 1.1 3区工程技术

Probability in the Engineering and Informational Sciences Pub Date : 2023-05-05 DOI: 10.1017/s0269964823000128

Femke van Ieperen, I. Kryven

引用次数: 0

Stochastic comparisons of largest claim and aggregate claim amounts 最大索赔和总索赔金额的随机比较

IF 1.1 3区工程技术

Probability in the Engineering and Informational Sciences Pub Date : 2023-04-04 DOI: 10.1017/s0269964823000104

Arindam Panja, Pradip Kundu, Nil Kamal Hazra, B. Pradhan

引用次数: 1

A new measure of inaccuracy for record statistics based on extropy 基于外倾性的记录统计不准确性的新度量

IF 1.1 3区工程技术

Probability in the Engineering and Informational Sciences Pub Date : 2023-03-10 DOI: 10.1017/s0269964823000086

M. Hashempour, M. Mohammadi

引用次数: 0

On hybrid tree-based methods for short-term insurance claims 基于混合树的短期保险理赔方法研究

IF 1.1 3区工程技术

Probability in the Engineering and Informational Sciences Pub Date : 2023-03-08 DOI: 10.1017/S0269964823000074

Zhiyu Quan, Zhiguo Wang, Guojun Gan, Emiliano A. Valdez

{"title":"On hybrid tree-based methods for short-term insurance claims","authors":"Zhiyu Quan, Zhiguo Wang, Guojun Gan, Emiliano A. Valdez","doi":"10.1017/S0269964823000074","DOIUrl":"https://doi.org/10.1017/S0269964823000074","url":null,"abstract":"Abstract Two-part framework and the Tweedie generalized linear model (GLM) have traditionally been used to model loss costs for short-term insurance contracts. For most portfolios of insurance claims, there is typically a large proportion of zero claims that leads to imbalances, resulting in lower prediction accuracy of these traditional approaches. In this article, we propose the use of tree-based methods with a hybrid structure that involves a two-step algorithm as an alternative approach. For example, the first step is the construction of a classification tree to build the probability model for claim frequency. The second step is the application of elastic net regression models at each terminal node from the classification tree to build the distribution models for claim severity. This hybrid structure captures the benefits of tuning hyperparameters at each step of the algorithm; this allows for improved prediction accuracy, and tuning can be performed to meet specific business objectives. An obvious major advantage of this hybrid structure is improved model interpretability. We examine and compare the predictive performance of this hybrid structure relative to the traditional Tweedie GLM using both simulated and real datasets. Our empirical results show that these hybrid tree-based methods produce more accurate and informative predictions.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2023-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75143201","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

A new lifetime distribution by maximizing entropy: properties and applications 熵最大化的新生命周期分布:属性和应用

IF 1.1 3区工程技术

Probability in the Engineering and Informational Sciences Pub Date : 2023-02-28 DOI: 10.1017/s0269964823000062

Ali Khosravi Tanak, Marziyeh Najafi, G. M. Mohtashami Borzadaran

引用次数: 1

A closed-form approximation for pricing spread options on futures under a mean-reverting spot price model with multiscale stochastic volatility 具有多尺度随机波动的均值回归现货价格模型下期货价差期权定价的封闭逼近

IF 1.1 3区工程技术

Probability in the Engineering and Informational Sciences Pub Date : 2023-02-20 DOI: 10.1017/s0269964823000049

Seung-Yong Baek, Jeong‐Hoon Kim

引用次数: 0