Applied Stochastic Models in Business and Industry最新文献

{"title":"Limiting Behavior of Mixed Coherent Systems With Lévy-Frailty Marshall–Olkin Failure Times","authors":"Guido Lagos,&nbsp;Javiera Barrera,&nbsp;Pablo Romero,&nbsp;Juan Valencia","doi":"10.1002/asmb.2893","DOIUrl":"https://doi.org/10.1002/asmb.2893","url":null,"abstract":"<div>\u0000 \u0000 <p>In this article, we show a limit result for the reliability function of a system—that is, the probability that the whole system is still operational after a certain given time—when the number of components of the system grows to infinity. More specifically, we consider a sequence of mixed coherent systems whose components are homogeneous and non-repairable, with failure-times governed by a Lévy-Frailty Marshall–Olkin (LFMO) distribution—a distribution that allows simultaneous component failures. We show that under integrability conditions the reliability function converges to the probability of a first-passage time of a Lévy subordinator process. To the best of our knowledge, this is the first result to tackle the asymptotic behavior of the reliability function as the number of components of the system grows. To illustrate our approach, we give an example of a parametric family of reliability functions where the system failure time converges in distribution to an exponential random variable, and give computational experiments testing convergence.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142447659","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Foreword to the Special Issue on Mathematical Methods in Reliability (MMR23)","authors":"Félix Belzunce,&nbsp;Jorge Navarro","doi":"10.1002/asmb.2894","DOIUrl":"https://doi.org/10.1002/asmb.2894","url":null,"abstract":"<p>The 12th International Conference on Mathematical Methods in Reliability (MMR 2023, May 30–June 2, Murcia Spain) continues a distinguished tradition of bringing together leading experts, researchers, and practitioners from various fields to explore cutting-edge advancements in reliability theory and applications. Since its inception, the MMR conference series has provided a premier platform for exchanging ideas and promoting collaboration across a wide array of disciplines, including mathematics, engineering, statistics, operations research, and computer science.</p><p>Reliability theory plays a crucial role in designing and analyzing complex systems, where safety, dependability, and risk assessment are paramount. As technological advancements accelerate and systems become increasingly intricate, the demand for robust mathematical models and methods to ensure system reliability is more critical than ever.</p><p>As the world faces new challenges in ensuring the resilience and reliability of critical infrastructures and technologies, the MMR conference continues to inspire innovation and foster collaboration. We hope this collection of papers will provide readers with valuable insights and stimulate further research in this vibrant and essential field.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2894","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142447658","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Pricing Cyber Insurance: A Geospatial Statistical Approach","authors":"L. V. Ballestra,&nbsp;V. D'Amato,&nbsp;P. Fersini,&nbsp;S. Forte,&nbsp;F. Greco","doi":"10.1002/asmb.2891","DOIUrl":"https://doi.org/10.1002/asmb.2891","url":null,"abstract":"<p>Cyberspace is a dynamic ecosystem consisting of interconnected data, devices, and individuals, with multiple network layers comprising identifiable nodes. Location-based information can significantly improve cyber resilience decision-making and facilitate the development of innovative cyber risk pricing tools. This article is based on a methodology that uses company geospatial data to accurately estimate the number of expected losses arising from cyberattacks. Our approach aims to build and compare statistical spatial models that allow pricing cyber policies more effectively than traditional non-spatial methods by incorporating all available data. By accounting for spatial dependence, we can assess the risk of data breaches and contribute to the design of more efficient cyber risk policies for the insurance market.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2891","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142447732","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Regional Shopping Objectives in British Grocery Retail Transactions Using Segmented Topic Models","authors":"Mariflor Vega Carrasco, Mirco Musolesi, Jason O'Sullivan, Rosie Prior, Ioanna Manolopoulou","doi":"10.1002/asmb.2890","DOIUrl":"https://doi.org/10.1002/asmb.2890","url":null,"abstract":"Understanding the customer behaviours behind transactional data has high commercial value in the grocery retail industry. Customers generate millions of transactions every day, choosing and buying products to satisfy specific shopping needs. Product availability may vary geographically due to local demand and local supply, thus driving the importance of analysing transactions within their corresponding store and regional context. Topic models provide a powerful tool in the analysis of transactional data, identifying topics that display frequently‐bought‐together products and summarising transactions as mixtures of topics. We use the segmented topic model (STM) to capture customer behaviours that are nested within stores. STM not only provides topics and transaction summaries but also topical summaries at the store level that can be used to identify regional topics. We summarise the posterior distribution of STM by post‐processing multiple posterior samples and selecting semantic modes represented as recurrent topics, and employ Gaussian process regression to model topic prevalence across British territory while accounting for spatial autocorrelation. We implement our methods on a dataset of transactional data from a major UK grocery retailer and demonstrate that shopping behaviours may vary regionally and nearby stores tend to exhibit similar regional demand.","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142253769","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Stock market bubbles and the forecastability of gold returns and volatility","authors":"David Gabauer, Rangan Gupta, Sayar Karmakar, Joshua Nielsen","doi":"10.1002/asmb.2887","DOIUrl":"https://doi.org/10.1002/asmb.2887","url":null,"abstract":"In this article, multi‐scale LPPLS confidence indicator approach is used to detect both positive and negative bubbles at short‐, medium‐, and long‐term horizons for the stock markets of the G7 and the BRICS countries. This enables detecting major crashes and rallies in the 12 stock markets over the period of the 1st week of January, 1973 to the 2nd week of September, 2020. Similar timing of strong (positive and negative) LPPLS indicator values across both G7 and BRICS countries was also observed, suggesting interconnectedness of the extreme movements in these stock markets. Next, these indicators were utilized to forecast gold returns and its volatility, using a method involving block means of residuals obtained from the popular LASSO routine, given that the number of covariates ranged between 42 and 72, and gold returns demonstrated a heavy upper tail. The finding was, these bubbles indicators, particularly when both positive and negative bubbles are considered simultaneously, can accurately forecast gold returns at short‐ to medium‐term, and also time‐varying estimates of gold returns volatility to a lesser extent. The results of this paper have important implications for the portfolio decisions of investors who seek a safe haven during boom‐bust cycles of major global stock markets.","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"An EM‐based likelihood inference for degradation data analysis using gamma process","authors":"Lochana Palayangoda, N. Balakrishnan","doi":"10.1002/asmb.2886","DOIUrl":"https://doi.org/10.1002/asmb.2886","url":null,"abstract":"The gamma process is widely used for the lifetime estimation of highly reliable products that degrade over time. Typically, incomplete likelihood is used to estimate the model parameters and the reliability estimates for the first passage time distribution of the gamma process; however, it (i.e., pseudo method) does not consider interval censoring and right censoring information of the degradation data. In this work, the expectation‐maximization algorithm‐based method (EM method) is developed for the estimation of the gamma process model parameters and the reliability estimates incorporating interval censoring and right censoring. The asymptotic variance–covariance matrix and the asymptotic confidence intervals for the parameters are constructed, and then a comparison between the pseudo method and the EM method is made. Monte Carlo simulation studies and real‐life data applications are conducted in order to illustrate the performance of the proposed EM method over the pseudo method.","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205757","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Modelling the Chinese crude oil futures returns through a skew-geometric Brownian motion correlated with the market volatility index process for pricing financial options","authors":"Michele Bufalo,&nbsp;Viviana Fanelli","doi":"10.1002/asmb.2882","DOIUrl":"10.1002/asmb.2882","url":null,"abstract":"<p>In this paper we model the dynamics of the Chinese crude oil futures returns by using a skew-geometric Brownian motion correlated with the market volatility, which is taken as a square-root stochastic process. We use the OVX index data as proxy for market volatility. We validate the proposed model in terms of accuracy of its calibrations through an in-sample simulation. Instead, out-of-sample simulations are used to show that a correlated skew-geometric Brownian motion is more appropriate for modelling the Chinese returns compared to a single skew-geometric Brownian motion in terms of forecasts. Furthermore, we price an American call option on the Chinese futures by using a recursively scheme based on a closed-form formula, and an alternative Monte Carlo approach, for the related European call option. We show that our call price estimates are very close to market values and our model generally outperforms many benchmarks in literature, such as the Barone-Adesi and Whaley formula and its generalizations.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141932704","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"SVM-Jacobi for fitting linear combinations of exponential distributions with applications to finance and insurance","authors":"Xixuan Han,&nbsp;Boyu Wei,&nbsp;Hailiang Yang,&nbsp;Qian Zhao","doi":"10.1002/asmb.2885","DOIUrl":"10.1002/asmb.2885","url":null,"abstract":"<p>We propose a method called SVM-Jacobi to approximate probability distributions by linear combinations of exponential distributions, associated with a comprehensive asymptotic analysis. In multivariate cases, the multivariate distribution is approximated by linear combinations of products of independent exponential distributions, and the method works effectively. The proposed method has many applications in both quantitative finance and insurance, especially for modeling random time, like default time and remaining lifetime. In addition to the methodology and theoretical analysis, we provide examples of pricing defaultable bonds, European options, credit default swaps, equity-linked death benefits, and calculating the credit value adjustment of credit default swaps. Finally, some numerical results based on real data and simulated data are presented for illustration.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141785758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A new extended δ-shock model with the consideration of shock magnitude","authors":"Hamed Lorvand,&nbsp;Serkan Eryilmaz","doi":"10.1002/asmb.2884","DOIUrl":"10.1002/asmb.2884","url":null,"abstract":"<p>In this article, a new <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>δ</mi>\u0000 </mrow>\u0000 <annotation>$$ delta $$</annotation>\u0000 </semantics></math>-shock model that takes into account the magnitude of shocks is introduced and studied from reliability perspective. According to the new model, the system breaks down if either a shock after non-critical shock occurs in a time length less than <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msub>\u0000 <mrow>\u0000 <mi>δ</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>1</mn>\u0000 </mrow>\u0000 </msub>\u0000 </mrow>\u0000 <annotation>$$ {delta}_1 $$</annotation>\u0000 </semantics></math> or a shock after a critical shock occurs in a time length less than <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msub>\u0000 <mrow>\u0000 <mi>δ</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>2</mn>\u0000 </mrow>\u0000 </msub>\u0000 <mo>,</mo>\u0000 </mrow>\u0000 <annotation>$$ {delta}_2, $$</annotation>\u0000 </semantics></math> where <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msub>\u0000 <mrow>\u0000 <mi>δ</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>1</mn>\u0000 </mrow>\u0000 </msub>\u0000 <mo>&lt;</mo>\u0000 <msub>\u0000 <mrow>\u0000 <mi>δ</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>2</mn>\u0000 </mrow>\u0000 </msub>\u0000 </mrow>\u0000 <annotation>$$ {delta}_1&lt;{delta}_2 $$</annotation>\u0000 </semantics></math>. The distribution of the system's lifetime is studied for both discrete and continuous intershock time distributions. It is shown that a new model is useful to describe a certain cold standby repairable system.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2884","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141649522","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Correlation analysis of degrading systems based on bivariate Wiener processes under imperfect maintenance","authors":"Lucía Bautista, Inma T. Castro, Christophe Bérenguer, Olivier Gaudoin, Laurent Doyen","doi":"10.1002/asmb.2883","DOIUrl":"https://doi.org/10.1002/asmb.2883","url":null,"abstract":"This article focuses on the correlation between the degradation levels of the two components that form a system. The degradation evolution of each component is modeled using Wiener processes. Both components are dependent and this dependence is described using the trivariate reduction method. To reduce the degradation and extend the system lifetime, preventive maintenance actions are periodically performed. These preventive maintenance actions are imperfect and they are modeled by using an arithmetic reduction of degradation of infinite order model with a determined maintenance efficiency parameter. The evolution of the maintained system is analysed by assessing the expectation and variance of both degradation processes at successive maintenance times. The novelty of this work is the analysis of the Pearson correlation coefficient between the degradation levels of the two components. Different properties of the monotonicity of the Pearson correlation coefficient between the two degradation paths are obtained by considering equal maintenance efficiency and equal general time scales functions for the two Wiener degradation processes associated to each degrading component.","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141523610","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}