TY - JOUR
T1 - Increasing convex order on generalized aggregation of SAI random variables with applications
AU - Pan, Xiaoqing
AU - Li, Xiaohu
N1 - Publisher Copyright:
Copyright © 2017 Applied Probability Trust.
PY - 2017/9/1
Y1 - 2017/9/1
N2 - In this paper we study general aggregation of stochastic arrangement increasing random variables, including both the generalized linear combination and the standard aggregation as special cases. In terms of monotonicity, supermodularity, and convexity of the kernel function, we develop several sufficient conditions for the increasing convex order on the generalized aggregations. Some applications in reliability and risks are also presented.
AB - In this paper we study general aggregation of stochastic arrangement increasing random variables, including both the generalized linear combination and the standard aggregation as special cases. In terms of monotonicity, supermodularity, and convexity of the kernel function, we develop several sufficient conditions for the increasing convex order on the generalized aggregations. Some applications in reliability and risks are also presented.
KW - Arrangement increasing
KW - coverage limit
KW - deductible
KW - generalized linear combination
KW - majorization
KW - submodular
KW - weighted k-out-of-n system
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U2 - 10.1017/jpr.2017.27
DO - 10.1017/jpr.2017.27
M3 - Article
AN - SCOPUS:85029825206
SN - 0021-9002
VL - 54
SP - 685
EP - 700
JO - Journal of Applied Probability
JF - Journal of Applied Probability
IS - 3
ER -