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Parametric stochastic convexity and concavity of stochastic processes

Author

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  • Moshe Shaked
  • J. Shanthikumar

Abstract

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Suggested Citation

  • Moshe Shaked & J. Shanthikumar, 1990. "Parametric stochastic convexity and concavity of stochastic processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(3), pages 509-531, September.
  • Handle: RePEc:spr:aistmt:v:42:y:1990:i:3:p:509-531
    DOI: 10.1007/BF00049305
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    References listed on IDEAS

    as
    1. J. George Shanthikumar & David D. Yao, 1987. "Optimal Server Allocation in a System of Multi-Server Stations," Management Science, INFORMS, vol. 33(9), pages 1173-1180, September.
    2. L. Rüschendorf, 1983. "Solution of a statistical optimization problem by rearrangement methods," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 30(1), pages 55-61, December.
    3. Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 467-498, December.
    4. Shaked, Moshe & Shanthikumar, J. George, 1987. "Temporal stochastic convexity and concavity," Stochastic Processes and their Applications, Elsevier, vol. 27, pages 1-20.
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    Citations

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    Cited by:

    1. Xie, Hongmei & Hu, Taizhong, 2010. "Some new results on multivariate dispersive ordering of generalized order statistics," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 964-970, April.
    2. Escudero, Laureano F. & Ortega, Eva-María, 2008. "Actuarial comparisons for aggregate claims with randomly right-truncated claims," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 255-262, October.
    3. Fabrizio Durante, 2009. "Construction of non-exchangeable bivariate distribution functions," Statistical Papers, Springer, vol. 50(2), pages 383-391, March.
    4. Arlotto, Alessandro & Scarsini, Marco, 2009. "Hessian orders and multinormal distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2324-2330, November.
    5. Laureano Escudero & Eva-María Ortega, 2009. "How retention levels influence the variability of the total risk under reinsurance," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(1), pages 139-157, July.
    6. Ortega, Eva-María & Escudero, Laureano F., 2010. "On expected utility for financial insurance portfolios with stochastic dependencies," European Journal of Operational Research, Elsevier, vol. 200(1), pages 181-186, January.
    7. Fco. Javier Martinez de Albeniz Salas & Carlos Rafels Pallarola, 2002. "A Note on Shapleys Convex Measure Games," Working Papers in Economics 91, Universitat de Barcelona. Espai de Recerca en Economia.
    8. Stef Tijs & Rodica Brânzei, 2004. "Various characterizations of convex fuzzy games," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 12(2), pages 399-408, December.
    9. repec:eee:mateco:v:70:y:2017:i:c:p:154-165 is not listed on IDEAS
    10. repec:spr:testjl:v:26:y:2017:i:3:d:10.1007_s11749-017-0527-5 is not listed on IDEAS

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