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Preservation of weak stochastic arrangement increasing under fixed time left-censoring

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  • Li, Chen
  • Li, Xiaohu

Abstract

Both WSAI and CLOAI properties of a random vector are proved to be preserved under left-censoring at fixed times. Applications in threshold default model of financial portfolio selection and system warranty cost allocation are presented as well.

Suggested Citation

  • Li, Chen & Li, Xiaohu, 2017. "Preservation of weak stochastic arrangement increasing under fixed time left-censoring," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 42-49.
    • Handle: RePEc:eee:stapro:v:129:y:2017:i:c:p:42-49
    DOI: 10.1016/j.spl.2017.04.018
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    References listed on IDEAS

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    1. D. Murthy, 2006. "Product warranty and reliability," Annals of Operations Research, Springer, vol. 143(1), pages 133-146, March.
    2. Li, Xiaohu & Li, Chen, 2016. "On allocations to portfolios of assets with statistically dependent potential risk returns," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 178-186.
    3. Yinping You & Rui Fang & Xiaohu Li, 2016. "Allocating active redundancies to k‐out‐of‐n reliability systems with permutation monotone component lifetimes," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 32(5), pages 607-620, September.
    4. Cai, Jun & Wei, Wei, 2015. "Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 156-169.
    5. You, Yinping & Li, Xiaohu, 2015. "Functional characterizations of bivariate weak SAI with an application," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 225-231.
    6. Franco Pellerey & Saeed Zalzadeh, 2015. "A note on relationships between some univariate stochastic orders and the corresponding joint stochastic orders," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(4), pages 399-414, May.
    7. Cheung, Ka Chun & Yang, Hailiang, 2004. "Ordering optimal proportions in the asset allocation problem with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 595-609, December.
    8. Cai, Jun & Wei, Wei, 2014. "Some new notions of dependence with applications in optimal allocation problems," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 200-209.
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    Cited by:

    1. Li, Chen & Li, Xiaohu, 2019. "Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 84-91.
    2. Li, Chen & Li, Xiaohu, 2020. "Preservation of weak SAI’s under increasing transformations with applications," Statistics & Probability Letters, Elsevier, vol. 164(C).

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