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Ordered multi-state system signature and its dynamic version in evaluating used multi-state systems 有序多状态系统签名及其在评价二手多状态系统中的动态版本
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-07-27 DOI: 10.1017/s0269964822000237
He Yi, N. Balakrishnan, Xiang Li
{"title":"Ordered multi-state system signature and its dynamic version in evaluating used multi-state systems","authors":"He Yi, N. Balakrishnan, Xiang Li","doi":"10.1017/s0269964822000237","DOIUrl":"https://doi.org/10.1017/s0269964822000237","url":null,"abstract":"Signature theory plays an important part in the field of reliability. In this paper, the ordered multi-state system signature and its related properties are discussed based on a life-test of independent and non-identical coherent or mixed systems with independent and identical binary-state components. Dynamic properties of these systems are considered through a new notion called dynamic multi-state system signature, and then related comparisons are made based on system lifetimes and costs. Finally, the theoretical results established are illustrated with some specific examples to demonstrate the use of dynamic ordered multi-state system signature in evaluating used multi-state coherent or mixed systems.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91104127","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
Scheduling servers in a two-stage queue with abandonments and costs 在带有放弃和成本的两阶段队列中调度服务器
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-07-20 DOI: 10.1017/s0269964822000213
Gabriel Zayas-Cabán, Amy L. Cochran
{"title":"Scheduling servers in a two-stage queue with abandonments and costs","authors":"Gabriel Zayas-Cabán, Amy L. Cochran","doi":"10.1017/s0269964822000213","DOIUrl":"https://doi.org/10.1017/s0269964822000213","url":null,"abstract":"\u0000 We consider the assignment of servers to two phases of service in a two-stage tandem queueing system when customers can abandon from each stage of service. New jobs arrive at both stations. Jobs arriving at station 1 may go through both phases of service and jobs arriving at station 2 may go through only one phase of service. Stage-dependent holding and lump-sum abandonment costs are incurred. Continuous-time Markov decision process formulations are developed that minimize discounted expected and long-run average costs. Because uniformization is not possible, we use the continuous-time framework and sample path arguments to analyze control policies. Our main results are conditions under which priority rules are optimal for the single-server model. We then propose and evaluate threshold policies for allocating one or more servers between the two stages in a numerical study. These policies prioritize a phase of service before “switching” to the other phase when total congestion exceeds a certain number. Results provide insight into how to adjust the switching rule to significantly reduce costs for specific input parameters as well as more general multi-server situations when neither preemption or abandonments are allowed during service and service and abandonment times are not exponential.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73423339","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
Applications of the classical compound Poisson model with claim sizes following a compound distribution 索赔规模遵循复合分布的经典复合泊松模型的应用
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-07-14 DOI: 10.1017/S0269964822000195
Dechen Gao, Kristina P. Sendova
{"title":"Applications of the classical compound Poisson model with claim sizes following a compound distribution","authors":"Dechen Gao, Kristina P. Sendova","doi":"10.1017/S0269964822000195","DOIUrl":"https://doi.org/10.1017/S0269964822000195","url":null,"abstract":"In this paper, we discuss a generalization of the classical compound Poisson model with claim sizes following a compound distribution. As applications, we consider models involving zero-truncated geometric, zero-truncated negative-binomial and zero-truncated binomial batch-claim arrivals. We also provide some ruin-related quantities under the resulting risk models. Finally, through numerical examples, we visualize the behavior of these quantities.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76603430","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: 2
Varentropy of doubly truncated random variable 双截断随机变量的异向性
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-07-08 DOI: 10.1017/s0269964822000225
Akash Sharma, Chanchal Kundu
{"title":"Varentropy of doubly truncated random variable","authors":"Akash Sharma, Chanchal Kundu","doi":"10.1017/s0269964822000225","DOIUrl":"https://doi.org/10.1017/s0269964822000225","url":null,"abstract":"Recently, there is a growing interest to study the variability of uncertainty measure in information theory. For the sake of analyzing such interest, varentropy has been introduced and examined for one-sided truncated random variables. As the interval entropy measure is instrumental in summarizing various system and its components properties when it fails between two time points, exploring variability of such measure pronounces the extracted information. In this article, we introduce the concept of varentropy for doubly truncated random variable. A detailed study of theoretical results taking into account transformations, monotonicity and other conditions is proposed. A simulation study has been carried out to investigate the behavior of varentropy in shrinking interval for simulated and real-life data sets. Furthermore, applications related to the choice of most acceptable system and the first-passage times of an Ornstein–Uhlenbeck jump-diffusion process are illustrated.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79617892","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: 3
PES volume 36 issue 3 Cover and Front matter PES第36卷第3期封面和封面问题
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-07-01 DOI: 10.1017/s0269964822000274
{"title":"PES volume 36 issue 3 Cover and Front matter","authors":"","doi":"10.1017/s0269964822000274","DOIUrl":"https://doi.org/10.1017/s0269964822000274","url":null,"abstract":"","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75374147","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
PES volume 36 issue 3 Cover and Back matter PES第36卷第3期封面和封底
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-07-01 DOI: 10.1017/s0269964822000262
{"title":"PES volume 36 issue 3 Cover and Back matter","authors":"","doi":"10.1017/s0269964822000262","DOIUrl":"https://doi.org/10.1017/s0269964822000262","url":null,"abstract":"","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84757018","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
A value-at-risk approach to futures hedge 一种期货对冲的风险价值方法
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-06-23 DOI: 10.1017/s0269964822000201
Wan-Yi Chiu
{"title":"A value-at-risk approach to futures hedge","authors":"Wan-Yi Chiu","doi":"10.1017/s0269964822000201","DOIUrl":"https://doi.org/10.1017/s0269964822000201","url":null,"abstract":"\u0000 This paper examines the value-at-risk (VaR) implications of mean-variance hedging. We derive an equivalence between the VaR-based hedge and the mean-variance hedging. This method transfers the investor's subjective risk-aversion coefficient into the estimated VaR measure. As a result, we characterize the collapse probability bounds under which the VaR-based hedge could be insignificantly different from the minimum-variance hedge in the presence of estimation risk. The results indicate that the squared information ratio of futures returns is the primary factor determining the difference between the minimum-variance and VaR-based hedges.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75072681","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
Equivalency of multi-state survival signatures of multi-state systems of different sizes and its use in the comparison of systems 不同大小的多状态系统的多状态生存签名的等价性及其在系统比较中的应用
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-06-10 DOI: 10.1017/s0269964822000183
He Yi, N. Balakrishnan, Xiang Li
{"title":"Equivalency of multi-state survival signatures of multi-state systems of different sizes and its use in the comparison of systems","authors":"He Yi, N. Balakrishnan, Xiang Li","doi":"10.1017/s0269964822000183","DOIUrl":"https://doi.org/10.1017/s0269964822000183","url":null,"abstract":"In this paper, the multi-state survival signature is first redefined for multi-state coherent or mixed systems with independent and identically distributed (i.i.d.) multi-state components. With the assumption of independence of component lifetimes at different state levels, transformation formulas of multi-state survival signatures of different sizes are established through the use of equivalent systems and a generalized triangle rule for order statistics from several independent and non-identical distributions. The results obtained facilitate stochastic comparisons of multi-state coherent or mixed systems with different numbers of i.i.d. multi-state components. Specific examples are finally presented to illustrate the transformation formulas established here, and also their use in comparing systems of different sizes.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78470632","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
Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times 恒定观测间隔时间的复合泊松模型中的Gerber-Shiu分析
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-06-06 DOI: 10.1017/S0269964822000092
Jiayi Xie, Wenguang Yu, Zhimin Zhang, Zhenyu Cui
{"title":"Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times","authors":"Jiayi Xie, Wenguang Yu, Zhimin Zhang, Zhenyu Cui","doi":"10.1017/S0269964822000092","DOIUrl":"https://doi.org/10.1017/S0269964822000092","url":null,"abstract":"In this paper, the classical compound Poisson model under periodic observation is studied. Different from the random observation assumption widely used in the literature, we suppose that the inter-observation time is a constant. In this model, both the finite-time and infinite-time Gerber-Shiu functions are studied via the Laguerre series expansion method. We show that the expansion coefficients can be recursively determined and also analyze the approximation errors in detail. Numerical results for several claim size density functions are given to demonstrate effectiveness of our method, and the effect of some parameters is also studied.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79624567","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: 2
Improved bounds for the solutions of renewal equations 更新方程解的改进界
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-06-06 DOI: 10.1017/s026996482200016x
S. Chadjiconstantinidis, G. Tzavelas
{"title":"Improved bounds for the solutions of renewal equations","authors":"S. Chadjiconstantinidis, G. Tzavelas","doi":"10.1017/s026996482200016x","DOIUrl":"https://doi.org/10.1017/s026996482200016x","url":null,"abstract":"Sequences of non-decreasing (non-increasing) lower (upper) bounds for the renewal-type equation as well as for the renewal function which are improvements of the famous corresponding bounds of Marshal [(1973). Linear bounds on the renewal function. SIAM Journal on Applied Mathematics 24(2): 245–250] are given. Also, sequences such bounds converging to the ordinary renewal function are obtained for several reliability classes of the lifetime distributions of the inter-arrival times, which are refinements of all of the existing known corresponding bounds. For the first time, a lower bound for the renewal function with DMRL lifetimes is given. Finally, sequences of such improved bounds are given for the ordinary renewal density as well as for the right-tail of the distribution of the forward recurrence time.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83123305","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
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