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RELATIONS BETWEEN STOCHASTIC ORDERINGS AND GENERALIZED STOCHASTIC PRECEDENCE

Published online by Cambridge University Press:  27 April 2015

Emilio De Santis ,
Fabio Fantozzi  and
Fabio Spizzichino
Emilio De Santis
Affiliation:
Department of Mathematics, University La Sapienza Rome E-mails: [email protected]; [email protected]; [email protected]
Fabio Fantozzi
Affiliation:
Department of Mathematics, University La Sapienza Rome E-mails: [email protected]; [email protected]; [email protected]
Fabio Spizzichino
Affiliation:
Department of Mathematics, University La Sapienza Rome E-mails: [email protected]; [email protected]; [email protected]
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Abstract

The concept of stochastic precedence between two real-valued random variables has often emerged in different applied frameworks. In this paper, we analyze several aspects of a more general, and completely natural, concept of stochastic precedence that also had appeared in the literature. In particular, we study the relations with the notions of stochastic ordering. Such a study leads us to introducing some special classes of bivariate copulas. Motivations for our study can arise from different fields. In particular, we consider the frame of Target-Based Approach in decisions under risk. This approach has been mainly developed under the assumption of stochastic independence between “Prospects” and “Targets”. Our analysis concerns the case of stochastic dependence.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 29 , Issue 3 , July 2015 , pp. 329 - 343
Copyright
Copyright © Cambridge University Press 2015 

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