Applied Stochastic Models in Business and Industry最新文献

{"title":"A Multistate Markovian Model of the Economic Burden for Allergy Immunotherapy","authors":"Massimo Bilancia,&nbsp;Gaetano Serviddio","doi":"10.1002/asmb.70017","DOIUrl":"https://doi.org/10.1002/asmb.70017","url":null,"abstract":"<div>\u0000 \u0000 <p>The incidence of allergic rhinoconjunctivitis due to pollinosis is increasing in Western countries. The first-line therapy (No-AIT) typically involves the administration of antihistamines and corticosteroid sprays to manage symptoms. Immunotherapy represents an alternative treatment option, as it promotes desensitization to allergens. However, it is associated with significant costs. Currently, two types of allergen immunotherapy (AIT) are prescribed: subcutaneous immunotherapy and sublingual immunotherapy. This article compares these two therapeutic options with No-AIT. The comparison is conducted through a cost-effectiveness analysis (CEA), which evaluates health-related outcomes by estimating the incremental cost per unit of change in a composite outcome that combines morbidity and quality-of-life metrics. To perform the analysis, we developed a realistic multistate model describing the progression of a cohort of patients undergoing the three therapeutic approaches. The model was designed to be sufficiently flexible to account for treatment-related challenges commonly observed in real-world settings, which are often inadequately represented in randomized controlled trials. By employing a novel two-dimensional framework, we tracked the proportion of the cohort transitioning between health states during each cycle while simultaneously capturing the origin and destination of each transition. This approach enabled the integration of structural features that are typically overlooked, such as early treatment discontinuation, transition rewards, nonstationarities associated with the usual termination of immunotherapy after three years, and differential protection against severe complications (e.g., asthma) depending on whether immunotherapy was completed or not. Deterministic simulations were conducted using standard input parameters, supplemented by probabilistic simulations to generate CEACs for each of the three strategies. The results from our model indicate that AIT is not cost-effective unless the payer exhibits a moderately high willingness-to-pay. These findings have important implications for the pharmaceutical industry involved in the production of AIT drugs.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 3","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144074563","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":"Soft-Clipping Autoregressive Models for Ordinal Time Series","authors":"Christian H. Weiß,&nbsp;Osama Swidan","doi":"10.1002/asmb.70015","DOIUrl":"https://doi.org/10.1002/asmb.70015","url":null,"abstract":"<p>The linear autoregressive models are among the most popular models in the practice of time series analysis, which constitutes an incentive to adapt them to ordinal time series as well. Our starting point for modeling ordinal time series data is the latent variable approach to define a generalized linear model. This method, however, typically leads to a non-linear relationship between the past observations and the current conditional cumulative distribution function (cdf). To overcome this problem, we use the soft-clipping link to obtain an approximately linear model structure and propose a wide and flexible class of soft-clipping autoregressive (scAR) models. The constraints imposed on the model parameters allow us to identify relevant special cases of the scAR model family. We study the calculation of transition probabilities as well as approximate formulae for the CDF. Our proposals are illustrated by numerical examples and simulation experiments, where the performance of maximum likelihood estimation as well as model selection is analyzed. The novel model family is successfully applied to a real-world ordinal time series from finance.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 3","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.70015","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143909248","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":"Integrated Optimization of Pricing, Maintenance Strategies, and Market Coverage: A Bargaining Model for Full-Service Contracts With Loss-Averse Participants","authors":"Ali Farrokhi-Sefat,&nbsp;Mohammad Sheikhalishahi,&nbsp;Ata Allah Taleizadeh","doi":"10.1002/asmb.70005","DOIUrl":"https://doi.org/10.1002/asmb.70005","url":null,"abstract":"<div>\u0000 \u0000 <p>As industries increasingly outsource their Maintenance, Repair, and Overhaul (MRO) programs to third-party service providers, Original Equipment Manufacturers (OEMs) seek to expand their market share by providing comprehensive MRO packages along with the original products at a bundled price. This study introduces a bargaining model that jointly optimizes pricing, maintenance policies, and OEM's market coverage, considering participants' gain/loss behaviors within the Full-Service Product System (FSPS) contracts framework. We first provide closed-form analysis for various scenarios in a one-on-one bargaining negotiation, resulting in significant computational efficiency and insightful managerial implications. It also enables us to expand the problem to multiple contracts and develop an algorithm that simultaneously optimizes client density, profitability, pricing and MRO policies. The findings indicate that when players' profits fall short of their reference point, a more loss-averse approach results in increased personal profit and less favorable outcomes for the opponent. We further enrich our findings by conducting a sensitivity analysis of the parameters affecting the pricing, MRO policies, and market coverage.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 3","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143884064","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":"Assessing Latent Risk Based on Joint Modelling of Multiple Health Insurance Outcomes of Mixed Types","authors":"Xingde Duan,&nbsp;Renjun Ma","doi":"10.1002/asmb.70012","DOIUrl":"https://doi.org/10.1002/asmb.70012","url":null,"abstract":"<p>Our research is motivated by an insurance study involving 788 insurance subscribers who made claims resulting from ischemic heart disease. Four different types of health services used by these subscribers as well as the corresponding total cost were observed for two years. Health care utilizations vary a lot even for subscribers of the same personal characteristics. The research question of primary interest is how to capture patient-specific latent risks beyond what can be explained by known personal characteristics. In this study, we characterize unobserved latent risks by random effects in our joint Tweedie mixed models for multiple health outcomes of mixed types. An optimal estimation of our model has been developed using the orthodox best linear unbiased predictors of random effects. Our approach is illustrated with the analysis of the health insurance study of 788 ischemic heart disease patients. Applying cluster analysis to the patient-specific latent risks predicted by our model, we were able to classify patients into a high risk group of 36 patients, a medium risk group of 256 patients and a low risk group of 496 patients. The finding is of important policy relevance since the losses suffered by a few are known to be spread over many in an insurance system. Grouping of patients and prioritization of specific groups based on subject-specific latent risks facilitates resource allocation and pricing.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 3","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.70012","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143865698","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":"Designing Accelerated Degradation Tests Based on Wiener Process With a Positive Relation Between the Drift Rate and the Volatility","authors":"Daojiang He,&nbsp;Lei He,&nbsp;Jinming Ren","doi":"10.1002/asmb.70010","DOIUrl":"https://doi.org/10.1002/asmb.70010","url":null,"abstract":"<div>\u0000 \u0000 <p>In this paper, we study the optimal design problem for constant-stress accelerated degradation tests using a new class of Wiener processes that effectively capture the positive relation between the drift rate and the volatility. Under the <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>D</mi>\u0000 </mrow>\u0000 <annotation>$$ D $$</annotation>\u0000 </semantics></math>-, <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>A</mi>\u0000 </mrow>\u0000 <annotation>$$ A $$</annotation>\u0000 </semantics></math>-, and <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>c</mi>\u0000 </mrow>\u0000 <annotation>$$ c $$</annotation>\u0000 </semantics></math>-optimality criteria, both the test stress levels and the allocation of test units at each stress level are explicitly determined. We provide a numerical example using carbon-film resistor data to validate our theoretical findings and perform a simulation study to highlight the advantages of our proposed designs. The numerical results suggest that the proposed designs outperform existing designs in terms of estimation accuracy.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 2","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143801700","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":"Incorporating Asymmetric Loss for Real Estate Prediction With Area-Level Spatial Data","authors":"Vaidehi Dixit,&nbsp;Scott H. Holan,&nbsp;Christopher K. Wikle","doi":"10.1002/asmb.70009","DOIUrl":"https://doi.org/10.1002/asmb.70009","url":null,"abstract":"<div>\u0000 \u0000 <p>We investigate two asymmetric loss functions, namely linear exponential (LINEX) loss and power divergence loss for optimal spatial prediction with area-level data. With our motivation arising from the real estate industry, namely in real estate valuation, we use the Zillow Home Value Index (ZHVI) for county-level values to show the change in prediction when the loss is different (asymmetric) from a traditional squared error loss (symmetric) function. Additionally, we discuss the importance of choosing the asymmetry parameter and propose a solution to this choice for a general asymmetric loss function. Since the focus is on area-level data predictions, we propose the methodology in the context of conditionally autoregressive (CAR) models. We conclude that the choice of the loss functions for spatial area-level predictions can play a crucial role and is heavily driven by the choice of parameters in the respective loss.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 2","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143761965","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":"Hazard Rate Order Between Parallel Systems With Multiple Types of Scaled Components","authors":"Khaled Masoumifard,&nbsp;Abedin Haidari,&nbsp;Nuria Torrado","doi":"10.1002/asmb.70008","DOIUrl":"https://doi.org/10.1002/asmb.70008","url":null,"abstract":"<div>\u0000 \u0000 <p>This study delves into the comparison of two parallel systems, each composed of multiple component types following the scale models with a shared baseline distribution. Under some assumptions imposed on the baseline distribution, it is shown that a restricted version of the <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>p</mi>\u0000 </mrow>\u0000 <annotation>$$ p $$</annotation>\u0000 </semantics></math>-larger order between the scale parameter vectors implies the hazard rate order between the system lifetimes, provided that the allocation vectors of the two systems are the same. Additionally, we explore scenarios where one system embodies heterogeneous scale parameters, whereas the other adopts homogeneous ones, examining the hazard rate order between their lifetimes. For the case when the scale vectors of the two systems are the same, it is shown under some assumptions on the baseline distribution that the weak supermajorization order between the allocation vectors results in the reversed hazard rate order between the system lifetimes. Under more restrictions on the allocation vectors, an extension of this result to the likelihood ratio order is also established. Our discussion also highlights the fulfillment of these assumptions by well-known lifetime distributions such as Feller-Pareto, generalized gamma, power-generalized Weibull, exponentiated Weibull, and half-normal distributions. The findings of this work contribute to addressing gaps in the understanding of stochastic orderings between parallel systems and further refine prior research in this domain. Furthermore, the results provide a foundation for practical applications, such as optimizing resource allocation and reliability assessment in engineering and operational contexts.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 2","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143717359","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":"No-Arbitrage Valuation of Contingent Claims Depending on an Untradeable Asset","authors":"Erindi Allaj","doi":"10.1002/asmb.70007","DOIUrl":"https://doi.org/10.1002/asmb.70007","url":null,"abstract":"<p>We consider an incomplete market situation with the presence of an untradeable asset and several tradeable assets. By an untradeable asset we mean an asset that cannot be traded on a public market. Typical examples of untradeable assets include real options and private credit/debt investments. We then exploit the relationship between the untradeable asset and tradeable assets to evaluate contingent claims depending on the untradeable asset. Under a multidimensional generalized Black–Scholes (GBS) framework, we study two different methods for pricing these kinds of contingent claims. The first is mean-variance hedging (MVH). The second is the method proposed in Jarrow (2023). We illustrate the two methods by applying them to two particular contingent claims: The option to defer and the spread option. No-arbitrage prices and admissible replicating trading strategies are derived. Lastly, we run simulations to test the performance of these replicating trading strategies.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 2","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.70007","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143689933","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":"Digital Twins: A Revolution in Modeling and Simulation","authors":"Jean-Michel Poggi,&nbsp;Murat Caner Testik","doi":"10.1002/asmb.70006","DOIUrl":"https://doi.org/10.1002/asmb.70006","url":null,"abstract":"","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 2","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143612409","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":"Pareto Optimal Proxy Metrics","authors":"Alessandro Zito,&nbsp;Dylan Greaves,&nbsp;Jacopo Soriano,&nbsp;Lee Richardson","doi":"10.1002/asmb.70003","DOIUrl":"https://doi.org/10.1002/asmb.70003","url":null,"abstract":"<div>\u0000 \u0000 <p>North star metrics and online experimentation play a central role in how technology companies improve their products. In many practical settings, however, evaluating experiments based on the north star metric directly can be difficult. The two most significant issues are (1) low sensitivity of the north star metric and (2) differences between the short-term and long-term impact on it. A common solution is to rely on proxy metrics rather than the north star in experiment evaluation and launch decisions. Existing literature on proxy metrics concentrates mainly on the estimation of the long-term impact from short-term experimental data. In this article, instead, we focus on the trade-off between the estimation of the long-term impact and the sensitivity in the short term. In particular, we propose the Pareto optimal proxy metrics method, which simultaneously optimizes prediction accuracy and sensitivity. We also give a multi-objective optimization algorithm to solve our specific problem. We apply our methodology to experiments from a large industrial recommendation system, and found proxy metrics that are eight times more sensitive than the north star and consistently moved in the same direction, increasing the velocity and the quality of the decisions to launch new features.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"41 2","pages":""},"PeriodicalIF":1.3,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143595236","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}