Preservation of weak SAI's under increasing transformations with applications

Chen Li; Xiaohu Li

doi:10.1016/j.spl.2020.108828

Preservation of weak SAI's under increasing transformations with applications

Chen Li
, Xiaohu Li

Department of Mathematical Sciences

Tianjin University of Commerce

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

This paper develops sufficient conditions for the preservation of WSAI, RWSAI and LWSAI under increasing transformations on the coordinates, respectively. Applications of the preservation in the asset allocation problem are presented as well.

Original language	English
Article number	108828
Journal	Statistics and Probability Letters
Volume	164
DOIs	https://doi.org/10.1016/j.spl.2020.108828
State	Published - Sep 2020

Keywords

Arrangement increasing
Hazard rate order
IHR
Threshold default model

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10.1016/j.spl.2020.108828

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title = "Preservation of weak SAI's under increasing transformations with applications",

abstract = "This paper develops sufficient conditions for the preservation of WSAI, RWSAI and LWSAI under increasing transformations on the coordinates, respectively. Applications of the preservation in the asset allocation problem are presented as well.",

keywords = "Arrangement increasing, Hazard rate order, IHR, Threshold default model",

author = "Chen Li and Xiaohu Li",

note = "Publisher Copyright: {\textcopyright} 2020 Elsevier B.V.",

year = "2020",

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doi = "10.1016/j.spl.2020.108828",

language = "English",

volume = "164",

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T1 - Preservation of weak SAI's under increasing transformations with applications

AU - Li, Chen

AU - Li, Xiaohu

PY - 2020/9

Y1 - 2020/9

N2 - This paper develops sufficient conditions for the preservation of WSAI, RWSAI and LWSAI under increasing transformations on the coordinates, respectively. Applications of the preservation in the asset allocation problem are presented as well.

AB - This paper develops sufficient conditions for the preservation of WSAI, RWSAI and LWSAI under increasing transformations on the coordinates, respectively. Applications of the preservation in the asset allocation problem are presented as well.

KW - Arrangement increasing

KW - Hazard rate order

KW - IHR

KW - Threshold default model

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UR - https://www.scopus.com/pages/publications/85085057560#tab=citedBy

U2 - 10.1016/j.spl.2020.108828

DO - 10.1016/j.spl.2020.108828

M3 - Article

AN - SCOPUS:85085057560

SN - 0167-7152

VL - 164

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

M1 - 108828

ER -

Preservation of weak SAI's under increasing transformations with applications

Abstract

Keywords

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