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

Assessing Latent Risk Based on Joint Modelling of Multiple Health Insurance Outcomes of Mixed Types 基于混合类型多重健康保险结果联合建模的潜在风险评估

IF 1.3 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2025-04-23 DOI: 10.1002/asmb.70012

Xingde Duan, Renjun Ma

{"title":"Assessing Latent Risk Based on Joint Modelling of Multiple Health Insurance Outcomes of Mixed Types","authors":"Xingde Duan, 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}

引用次数: 0

Designing Accelerated Degradation Tests Based on Wiener Process With a Positive Relation Between the Drift Rate and the Volatility 基于漂移率与挥发性呈正相关的Wiener过程的加速退化试验设计

IF 1.3 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2025-04-09 DOI: 10.1002/asmb.70010

Daojiang He, Lei He, Jinming Ren

{"title":"Designing Accelerated Degradation Tests Based on Wiener Process With a Positive Relation Between the Drift Rate and the Volatility","authors":"Daojiang He, Lei He, 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}

引用次数: 0

Incorporating Asymmetric Loss for Real Estate Prediction With Area-Level Spatial Data 基于区域级空间数据的非对称损失房地产预测

IF 1.3 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2025-04-02 DOI: 10.1002/asmb.70009

Vaidehi Dixit, Scott H. Holan, Christopher K. Wikle

引用次数: 0

Hazard Rate Order Between Parallel Systems With Multiple Types of Scaled Components 具有多种比例元件的并联系统间的危险率顺序

IF 1.3 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2025-03-27 DOI: 10.1002/asmb.70008

Khaled Masoumifard, Abedin Haidari, Nuria Torrado

{"title":"Hazard Rate Order Between Parallel Systems With Multiple Types of Scaled Components","authors":"Khaled Masoumifard, Abedin Haidari, 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}

引用次数: 0

No-Arbitrage Valuation of Contingent Claims Depending on an Untradeable Asset 基于不可交易资产的或有债权的无套利估值

IF 1.3 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2025-03-23 DOI: 10.1002/asmb.70007

Erindi Allaj

引用次数: 0

Digital Twins: A Revolution in Modeling and Simulation 数字孪生：建模和仿真的革命

IF 1.3 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2025-03-13 DOI: 10.1002/asmb.70006

Jean-Michel Poggi, Murat Caner Testik

引用次数: 0

Pareto Optimal Proxy Metrics 帕累托最优代理指标

IF 1.3 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2025-03-10 DOI: 10.1002/asmb.70003

Alessandro Zito, Dylan Greaves, Jacopo Soriano, Lee Richardson

{"title":"Pareto Optimal Proxy Metrics","authors":"Alessandro Zito, Dylan Greaves, Jacopo Soriano, 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}

引用次数: 0

Is There a Future for Stochastic Modeling in Business and Industry in the Era of Machine Learning and Artificial Intelligence? 在机器学习和人工智能时代，随机建模在商业和工业中有未来吗？

IF 1.3 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2025-03-10 DOI: 10.1002/asmb.70004

Fabrizio Ruggeri, David Banks, William S. Cleveland, Nicholas I. Fisher, Marcos Escobar-Anel, Paolo Giudici, Emanuela Raffinetti, Roger W. Hoerl, Dennis K. J. Lin, Ron S. Kenett, Wai Keung Li, Philip L. H. Yu, Jean-Michel Poggi, Marco S. Reis, Gilbert Saporta, Piercesare Secchi, Rituparna Sen, Ansgar Steland, Zhanpan Zhang

{"title":"Is There a Future for Stochastic Modeling in Business and Industry in the Era of Machine Learning and Artificial Intelligence?","authors":"Fabrizio Ruggeri, David Banks, William S. Cleveland, Nicholas I. Fisher, Marcos Escobar-Anel, Paolo Giudici, Emanuela Raffinetti, Roger W. Hoerl, Dennis K. J. Lin, Ron S. Kenett, Wai Keung Li, Philip L. H. Yu, Jean-Michel Poggi, Marco S. Reis, Gilbert Saporta, Piercesare Secchi, Rituparna Sen, Ansgar Steland, Zhanpan Zhang","doi":"10.1002/asmb.70004","DOIUrl":"https://doi.org/10.1002/asmb.70004","url":null,"abstract":"<div>\u0000 \u0000 <p>The paper arises from the experience of <i>Applied Stochastic Models in Business and Industry</i> which has seen, over the years, more and more contributions related to Machine Learning rather than to what was intended as a stochastic model. The very notion of a stochastic model (e.g., a Gaussian process or a Dynamic Linear Model) can be subject to change: What is a Deep Neural Network if not a stochastic model? The paper presents the views, supported by examples, of distinguished researchers in the field of business and industrial statistics. They are discussing not only whether there is a future for traditional stochastic models in the era of Machine Learning and Artificial Intelligence, but also how these fields can interact and gain new life for their development.</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":"143595155","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

Redundancy Allocation Problem in k-Out-Of-n Systems With Dependent and Heterogeneous Components 具有依赖和异构组件的k- of -n系统的冗余分配问题

IF 1.3 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2025-03-03 DOI: 10.1002/asmb.2932

Zohreh Zare, Somayeh Zarezadeh, Mahmood Kharrati-Kopaei

引用次数: 0

Mean Distances and Dependence Structures for Lifetimes of Systems With Shared Components 具有共享组件的系统寿命的平均距离和依赖结构

IF 1.3 4区数学

Applied Stochastic Models in Business and Industry Pub Date : 2025-02-24 DOI: 10.1002/asmb.70002

Marco Capaldo, Antonio Di Crescenzo, Franco Pellerey

引用次数: 0