Applied Stochastic Models in Business and Industry最新文献_第2页

New Combined Permutation Test With Application to Time Series Comparison for the Assessment of ESG Investment Financial Performance 新的组合置换检验及其在ESG投资财务绩效评价中的应用

IF 1.5 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2026-08-27 DOI: 10.1002/asmb.70126

Stefano Bonnini, Michela Borghesi

{"title":"New Combined Permutation Test With Application to Time Series Comparison for the Assessment of ESG Investment Financial Performance","authors":"Stefano Bonnini, Michela Borghesi","doi":"10.1002/asmb.70126","DOIUrl":"https://doi.org/10.1002/asmb.70126","url":null,"abstract":"<p>The nonparametric family of combined permutation tests is composed of a large number of members, each one characterized by a specific combining function. Each combined permutation test has a different power behavior, depending on the characteristics and complexity of the problem. The comparison of groups of dependent and high-dimensional time series represents a challenging inferential problem for which classical parametric methods often rely on restrictive assumptions. To address this aspect, we propose a new combined permutation test and, through a simulation study, we investigate its performance and detect the conditions under which it is preferable to the most commonly used combined permutation tests. Furthermore, a general formula for the nonparametric combination, called generalized combining function, is proposed to better understand how the new test fits into the broader family of combined permutation tests. The combined test statistics are analyzed from a new perspective. Finally, the new test is proposed as a solution to the problem of comparing groups of time series. A contribution to the empirical literature about the financial performance of ESG titles is provided by applying such a solution to real financial data.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"42 5","pages":""},"PeriodicalIF":1.5,"publicationDate":"2026-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.70126","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148849115","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}

引用次数: 0

A Nonparametric Multivariate Framework With Stochastic Forecasting: Evaluating Public Pension Service Quality 基于随机预测的非参数多元框架：公共养老服务质量评价

IF 1.5 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2026-08-21 DOI: 10.1002/asmb.70125

Gianfranco Piscopo, Massimiliano Giacalone, Stefano Marra, Chiara Marciano

{"title":"A Nonparametric Multivariate Framework With Stochastic Forecasting: Evaluating Public Pension Service Quality","authors":"Gianfranco Piscopo, Massimiliano Giacalone, Stefano Marra, Chiara Marciano","doi":"10.1002/asmb.70125","DOIUrl":"https://doi.org/10.1002/asmb.70125","url":null,"abstract":"<p>Evaluation of service quality in public systems represents a critical challenge in the context of increasing demographic pressure and economic uncertainty. Pension systems, such as the Italian system managed by INPS, can be interpreted as complex service infrastructures whose quality depends on financial sustainability, efficiency, and accessibility. This paper proposes an integrated statistical framework combining nonparametric multivariate analysis and stochastic forecasting to assess the quality and sustainability of pension services. The empirical analysis is based on official data from INPS and ISTAT and is conducted across Italian macro-regions (North, Center, South), capturing territorial heterogeneity. The methodology integrates Spearman rank correlation, variable selection based on collinearity thresholds, and ARIMA time series models, providing a unified analytical pipeline. Digitalization is considered an institutional context that may affect the interpretation of empirical findings; however, it is not explicitly incorporated into the model due to the lack of consistent historical indicators. The results reveal strong dependence relationships among key variables, significant territorial disparities, and increasing uncertainty in future pension dynamics, particularly in Southern Italy. The proposed framework provides a robust and flexible tool for evaluating public service quality and offers relevant insights for policy-making.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"42 5","pages":""},"PeriodicalIF":1.5,"publicationDate":"2026-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.70125","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148785070","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}

引用次数: 0

A Dynamic Bayesian Network Approach to the Interbank Market 银行间市场的动态贝叶斯网络方法

IF 1.5 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2026-08-06 DOI: 10.1002/asmb.70120

Haici Zhang, Wei Qian, Paul Laux

{"title":"A Dynamic Bayesian Network Approach to the Interbank Market","authors":"Haici Zhang, Wei Qian, Paul Laux","doi":"10.1002/asmb.70120","DOIUrl":"https://doi.org/10.1002/asmb.70120","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a Bayesian dynamic interbank network model with probit links that simultaneously incorporates three underlying mechanisms for interbank trading: dynamic activity indices for overall market confidence, bank-specific latent variables for individual banks' fitness as borrowers or lenders, and pairwise covariates characterizing past trading relationships. Correspondingly, a computationally efficient Gibbs sampling algorithm is developed for sampling model parameters from posterior distributions that handles constrained parameters to achieve identification in a model with latent components. By applying our Bayesian approach to the e-MID interbank market, we obtain empirically useful estimates of latent parameters that not only forecast trading linkages, but also provide pricing information about the interest rates banks charge each other. New model-based proxies of network topology change and relationship lending are proposed to investigate their impact on relevant economic variables and the price of liquidity. The model is also extended to allow logit links as a flexible alternative.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"42 4","pages":""},"PeriodicalIF":1.5,"publicationDate":"2026-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148752912","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}

引用次数: 0

Inference on a Stochastic Bass Model for New Product Adoption 新产品采用的随机Bass模型的推论

IF 1.5 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2026-08-06 DOI: 10.1002/asmb.70124

Giuseppina Albano, Antonio Barrera, Virginia Giorno, Francisco Torres-Ruiz

{"title":"Inference on a Stochastic Bass Model for New Product Adoption","authors":"Giuseppina Albano, Antonio Barrera, Virginia Giorno, Francisco Torres-Ruiz","doi":"10.1002/asmb.70124","DOIUrl":"https://doi.org/10.1002/asmb.70124","url":null,"abstract":"<p>This paper investigates stochastic versions of the classical Bass diffusion model, with a focus on the development and comparison of parameter estimation procedures. Two stochastic processes that generalize the classical Bass model, which is commonly used to describe sales dynamics in emerging markets, are considered. For these processes, parameter estimation procedures that identify the potential market size, the innovation and imitation rates, and the amplitude of random fluctuations of the phenomenon under study are developed. The first estimation procedure is based on a discretization of the original process and employs a quasi-maximum likelihood approach. The second procedure relies on a new parametrization of the Bass curve and leads to a maximum likelihood estimation method. An extensive simulation study is presented to assess the statistical accuracy and robustness of the proposed procedures and to provide a comparative evaluation of their performance under different scenarios. Finally, the applicability of the proposed inferential framework is illustrated through an empirical study on mobile social networking adoption.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"42 4","pages":""},"PeriodicalIF":1.5,"publicationDate":"2026-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.70124","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148752913","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}

引用次数: 0

Modeling Broken-Heart Effect of Insured Couples by Relevation Transform With Proportional Mortality 基于比例死亡率关联变换的参保夫妻心碎效应模型

IF 1.5 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2026-08-06 DOI: 10.1002/asmb.70122

Xiaohu Li, Xiaonan Yang, Jiajie Lu

{"title":"Modeling Broken-Heart Effect of Insured Couples by Relevation Transform With Proportional Mortality","authors":"Xiaohu Li, Xiaonan Yang, Jiajie Lu","doi":"10.1002/asmb.70122","DOIUrl":"https://doi.org/10.1002/asmb.70122","url":null,"abstract":"<div>\u0000 \u0000 <p>For the remaining lifetimes of an insured couple, dependence arises from not only the shared environment and lifestyle but also the broken-heart effect well-documented in demographic and biological studies. However, much of the existing literature lacks an effective way to quantify both sources of dependence. The traditional copula models capture the statistical dependence between spouses but fail to explicitly address the broken-heart effect, whereas the semi-Markov chain models incorporate the broken-heart effect without considering the dependence during marriage. In this paper, we propose a new approach to integrate the broken-heart effect through the relevation transform and proportional mortality rates. The survival function of lifetimes is derived for an insured couple and its analytical properties are discussed also. This framework enables actuaries to more accurately assess insurance risks associated with couple lifetimes. The advantages of this approach are substantiated through probabilistic analysis, simulation, and empirical study based on a real-world data application.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"42 4","pages":""},"PeriodicalIF":1.5,"publicationDate":"2026-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148752911","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}

引用次数: 0

A Risk-Adjusted Analysis of LTC Insurance LTC保险的风险调整分析

IF 1.5 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2026-08-04 DOI: 10.1002/asmb.70123

Emilia DI Lorenzo, Gabriella Piscopo, Alba Roviello, Marilena Sibillo

{"title":"A Risk-Adjusted Analysis of LTC Insurance","authors":"Emilia DI Lorenzo, Gabriella Piscopo, Alba Roviello, Marilena Sibillo","doi":"10.1002/asmb.70123","DOIUrl":"https://doi.org/10.1002/asmb.70123","url":null,"abstract":"<p>In this article, we analyze the cash flows associated with a homogeneous portfolio of Long-Term Care (LTC) insurance contracts, taking into account key sources of risk that may affect the profitability of such products. LTC policies generate long-term positive impacts, both socially and economically, and insurers may actively support the establishment of a fair and sustainable care system. To this aim, managing the impact of the possible risks on the profit flows plays a central role, from the insurer's point of view. We present a forward-looking actuarial analysis of the time-evolving profitability of the portfolio and analyze the impact of systematic risk resulting from inaccuracies in the estimation of claim frequencies, and explore the sensitivity of financial outcomes to different technical assumptions. To broaden our investigation, we construct a risk-adjusted constant relative risk aversion (CRRA) utility function that enables integrating stochastic variability in claim events hypothesis with the insurer's personal risk tolerance. We introduce a dynamic risk score that may reflect both contract-specific risk factors as well as wider strategic considerations, proposing some numerical evidence.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"42 4","pages":""},"PeriodicalIF":1.5,"publicationDate":"2026-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.70123","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148752415","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}

引用次数: 0

A Physics Space and Deterministic Modeling of Battery Lifetimes 电池寿命的物理空间和确定性建模

IF 1.5 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2026-07-27 DOI: 10.1002/asmb.70121

Nedka Dechkova Nikiforova, Rossella Berni, Gabriele Patrizi, Lorenzo Ciani, Marcantonio Catelani, G. Geoffrey Vining

{"title":"A Physics Space and Deterministic Modeling of Battery Lifetimes","authors":"Nedka Dechkova Nikiforova, Rossella Berni, Gabriele Patrizi, Lorenzo Ciani, Marcantonio Catelani, G. Geoffrey Vining","doi":"10.1002/asmb.70121","DOIUrl":"https://doi.org/10.1002/asmb.70121","url":null,"abstract":"<p>This paper uses a case study involving sixteen electric batteries to introduce a novel, new approach for analyzing the results from a well-planned experimental design, in this case a split-plot with no replicates. This particular study collected information on several “ancillary” variables throughout the discharge cycle for each battery. The information from these variables describes the cycle life up through the final life degradation. This paper recognizes that the data are actually deterministic and not stochastic. The fundamental aims are (1) to demonstrate how the ancillary data can reduce the variability of the proper predictive model for the data, (2) to show how standard hypothesis tests based on the battery means fail with respect to the observed degradation of the battery's life, (3) to introduce a modification of Mallow's <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msub>\u0000 <mrow>\u0000 <mi>C</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mi>p</mi>\u0000 </mrow>\u0000 </msub>\u0000 </mrow>\u0000 <annotation>$$ {C}_p $$</annotation>\u0000 </semantics></math>, designed specifically for evaluating deterministic systems, (4) to illustrate how plots of residuals from the predictive models demonstrate the stable and predictable system, and (5) to demonstrate relationships between proper predictive modeling and statistical process control.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"42 4","pages":""},"PeriodicalIF":1.5,"publicationDate":"2026-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.70121","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148616274","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}

引用次数: 0

Nonparametric Methods for Multivariate Association Testing 多元关联检验的非参数方法

IF 1.5 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2026-07-09 DOI: 10.1002/asmb.70119

Elena Barzizza, Riccardo Ceccato, Solomon Harrar, Luigi Salmaso

引用次数: 0

Nonparametric Independence Screening and Selection Approach for Volatility Models With Exogenous Covariates 外生协变量波动模型的非参数独立筛选与选择方法

IF 1.5 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2026-07-08 DOI: 10.1002/asmb.70117

Giuseppe Feo, Francesco Giordano, Sara Milito

{"title":"Nonparametric Independence Screening and Selection Approach for Volatility Models With Exogenous Covariates","authors":"Giuseppe Feo, Francesco Giordano, Sara Milito","doi":"10.1002/asmb.70117","DOIUrl":"https://doi.org/10.1002/asmb.70117","url":null,"abstract":"<p>This paper introduces a nonparametric and non-penalised variable selection procedure, called <i>Volatility Nonparametric Independence Screening and Selection (Vol-NIS-S)</i>, designed for ultra-high-dimensional nonlinear dynamic time series models relevant to business and industrial applications. Unlike traditional approaches, the proposed method operates without imposing parametric assumptions on the functional form linking the volatility to exogenous covariates. Assuming a zero conditional mean function, the selection mechanism relies on ranking predictors according to the correlation between the squared response and their marginal variance functions, estimated nonparametrically via kernel regression. We establish the sure screening property under mild regularity conditions. We show that the procedure can be adapted to settings with nonzero conditional mean function and to the case of heavy-tailed innovations. Simulation studies demonstrate that Vol-NIS-S outperforms standard penalized regression methods, such as LASSO. The practical utility of the methodology is illustrated through an empirical analysis of Bitcoin and Gold volatility dynamics during the COVID-19 pandemic, offering valuable insights for financial risk modeling. The empirical findings highlight substantial differences between the two assets, not only in terms of their intrinsic financial nature but also with respect to the market variables that drive their volatility dynamics.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"42 4","pages":""},"PeriodicalIF":1.5,"publicationDate":"2026-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.70117","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148466736","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}

引用次数: 0

Multivariate Control Charts and Changepoint Detection for Multivariate Functional Data by Nonparametric Conditional Distribution and FPCA 基于非参数条件分布和FPCA的多变量控制图和多变量函数数据的变点检测

IF 1.5 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2026-07-01 DOI: 10.1002/asmb.70116

Jong-Min Kim, Sun Young Hwang

{"title":"Multivariate Control Charts and Changepoint Detection for Multivariate Functional Data by Nonparametric Conditional Distribution and FPCA","authors":"Jong-Min Kim, Sun Young Hwang","doi":"10.1002/asmb.70116","DOIUrl":"https://doi.org/10.1002/asmb.70116","url":null,"abstract":"<div>\u0000 \u0000 <p>Detecting structural changes in multivariate functional data is difficult when strong dependence and non-linear relationships obscure persistent shifts. Existing statistical process control and multivariate functional monitoring methods often lose power in such settings due to variance inflation induced by cross-correlation. This study focuses on improving practical changepoint detection through dependence-aware preprocessing within a functional monitoring framework. We propose a change point detection method that integrates nonparametric conditional distribution transformations with functional principal component analysis (FPCA). The conditional transformation reduces inter-variable dependence by standardizing each functional component relative to its conditional distribution, allowing localized dependence changes to emerge more clearly after common variation is removed. FPCA then captures dominant temporal variation, enabling sustained mean and variance shifts to be detected through low-dimensional score processes. Method effectiveness is assessed through simulation studies with controlled change points under varying dependence structures. Performance is evaluated using detection delay, false alarm rates, and localization accuracy, and compared against established multivariate functional monitoring methods without conditional preprocessing. Both simulations and financial applications show that the conditional framework detects structural shifts missed by conventional marginal monitoring approaches, particularly in strongly correlated environments. The proposed approach consistently achieves faster detection and improved stability in highly dependent settings. An application to high-frequency financial index data further demonstrates that the framework can identify stock-specific regime changes obscured by broader market movements.</p>\u0000 </div>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"42 4","pages":""},"PeriodicalIF":1.5,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148386368","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}

引用次数: 0