二阶超额财富阶及其性质

IF 0.7 3区工程技术 Q4 ENGINEERING, INDUSTRIAL

Probability in the Engineering and Informational Sciences Pub Date : 2022-02-02 DOI:10.1017/S0269964821000516

V. Zardasht

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引用次数: 0

摘要

在文献中，一些随机阶已被推广到不同情形下的高阶。本文受超额财富阶的有趣性质及其在比较风险尾部变异性方面的广泛应用的启发，考虑二阶超额财富阶并研究其主要性质。我们得到两个结果来表征所提出的顺序。我们还研究了它与其他已知的变异性顺序和标准的关系，以比较风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On the second-order excess wealth order and its properties

Abstract In the literature, some stochastic orders have been extended to the higher orders in different scenarios. In this paper, inspired by interesting properties of the excess wealth order and its wide range application particularly in comparing the tail variability of risks, we consider the second-order excess wealth order and study its main properties. We obtain two results characterizing the proposed order. We also investigate its relationship with other well-known variability orders and criteria to compare risks. An application of the results in comparing the epoch times of two nonhomogeneous poisson processes is also given.

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来源期刊

Probability in the Engineering and Informational Sciences 数学-工程：工业

CiteScore

2.20

自引率

18.20%

发文量

审稿时长

>12 weeks

期刊介绍： The primary focus of the journal is on stochastic modelling in the physical and engineering sciences, with particular emphasis on queueing theory, reliability theory, inventory theory, simulation, mathematical finance and probabilistic networks and graphs. Papers on analytic properties and related disciplines are also considered, as well as more general papers on applied and computational probability, if appropriate. Readers include academics working in statistics, operations research, computer science, engineering, management science and physical sciences as well as industrial practitioners engaged in telecommunications, computer science, financial engineering, operations research and management science.