A CLASS OF LOCATION-INDEPENDENT VARIABILITY ORDERS, WITH APPLICATIONS

作者：Shaked Moshe^*; Sordo Miguel A; Suarez Llorens Alfonso

来源：Journal of Applied Probability, 2010, 47(2): 407-425.

• Dispersive order
• excess wealth order
• stochastic order
• location-independent riskier order
• increasing convex and concave orders
• poverty measure
• risk comparison
• taxation policy
• NBU
• IFR

Li and Shaked (2007) introduced the family of generalized total time on test transform (TTT) stochastic orders, which is parameterized by a real function h that can be used to capture the preferences of a decision maker. It is natural to look for properties of these orders when there is an uncertainty in determining the appropriate function h. In this paper we study these orders when h is nondecreasing. We note that all these orders are location independent, and we characterize the dispersive order, and the location-independent riskier order, by means of the generalized TTT orders with nondecreasing h. Further properties, which strengthen known properties of the dispersive order. are given. A useful nontrivial closure property of the generalized TTT orders with nondecreasing It is obtained. Applications in poverty comparisons, risk management. and reliability theory are described.

• 出版日期2010-6