In this paper, a new multivariate counting process model (called Multivariate Poisson Generalized Gamma Process) is developed and its main properties are studied. Some basic stochastic properties of the number of events in the new multivariate counting process are initially derived. It is shown that this new multivariate counting process model includes the multivariate generalized Pólya process as a special case. The dependence structure of the multivariate counting process model is discussed. Some results on multivariate stochastic comparisons are also obtained.

We consider the problem of parameter estimation for the superposition of square-root diffusions. We first derive the explicit formulas for the moments and auto-covariances based on which we develop our moment estimators. We then establish a central limit theorem for the estimators with the explicit formulas for the asymptotic covariance matrix. Finally, we conduct numerical experiments to validate our method.

In this paper, we define weighted failure rate and their means from the stand point of an application. We begin by emphasizing that the formation of n independent component series system having weighted failure rates with sum of weight functions being unity is same as a mixture of n distributions. We derive some parametric and non-parametric characterization results. We discuss on the form invariance property of baseline failure rate for a specific choice of weight function. Some bounds on means of aging functions are obtained. Here, we establish that weighted increasing failure rate average (IFRA) class is not closed under formation of coherent systems unlike the IFRA class. An interesting application of the present work is credited to the fact that the quantile version of means of failure rate is obtained as a special case of weighted means of failure rate.

This paper investigates the precise large deviations of the net loss process in a two-dimensional risk model with consistently varying tails and dependence structures, and gives some asymptotic formulas which hold uniformly for all x varying in t-intervals. The study is among the initial efforts to analyze potential risk via large deviation results for the net loss process of the two-dimensional risk model, and can provide a novel insight to assess the operation risk in a long run by fully considering the premium income factors of the insurance company.

Motivated by the impact of emerging technologies on (toll) parks, this paper studies a problem of customers’ strategic behavior, social optimization, and revenue maximization for infinite-server queues. More specifically, we assume that a customer’s utility consists of a positive reward for receiving service minus a cost caused by the other customers in the system. In the observable setting, we show the existence, uniqueness, and expressions of the individual equilibrium threshold, the socially optimal threshold, and the optimal revenue threshold, respectively. Then, we prove that the optimal revenue threshold is smaller than the socially optimal threshold, which is smaller than the individual one. Furthermore, we also extend the cost functions to any finite polynomial function with nonnegative coefficients. In the unobservable setting, we derive the joining probabilities of individual equilibrium and optimal revenue. Finally, using numerical experiments, we complement our results and compare the social welfare and the revenue under these two information levels.

Graph-based semi-supervised learning methods combine the graph structure and labeled data to classify unlabeled data. In this work, we study the effect of a noisy oracle on classification. In particular, we derive the maximum a posteriori (MAP) estimator for clustering a degree corrected stochastic block model when a noisy oracle reveals a fraction of the labels. We then propose an algorithm derived from a continuous relaxation of the MAP, and we establish its consistency. Numerical experiments show that our approach achieves promising performance on synthetic and real data sets, even in the case of very noisy labeled data.

This paper studies a bi-dimensional compound risk model with quasi-asymptotically independent and consistently varying-tailed random numbers of claims and establishes an asymptotic formula for the finite-time sum-ruin probability. Additionally, some results related to tail probabilities of random sums are presented, which are of significant interest in their own right. Some numerical studies are carried out to check the accuracy of the asymptotic formula.

Given a sequence of independent random vectors taking values in ${\mathbb R}^d$ and having common continuous distribution function F, say that the $n^{\rm \scriptsize}$th observation sets a (Pareto) record if it is not dominated (in every coordinate) by any preceding observation. Let $p_n(F) \equiv p_{n, d}(F)$ denote the probability that the $n^{\rm \scriptsize}$th observation sets a record. There are many interesting questions to address concerning pn and multivariate records more generally, but this short paper focuses on how pn varies with F, particularly if, under F, the coordinates exhibit negative dependence or positive dependence (rather than independence, a more-studied case). We introduce new notions of negative and positive dependence ideally suited for such a study, called negative record-setting probability dependence (NRPD) and positive record-setting probability dependence (PRPD), relate these notions to existing notions of dependence, and for fixed $d \geq 2$ and $n \geq 1$ prove that the image of the mapping pn on the domain of NRPD (respectively, PRPD) distributions is $[p^*_n, 1]$ (resp., $[n^{-1}, p^*_n]$), where $p^*_n$ is the record-setting probability for any continuous F governing independent coordinates.

Information generating functions (IGFs) have been of great interest to researchers due to their ability to generate various information measures. The IGF of an absolutely continuous random variable (see Golomb, S. (1966). The information generating function of a probability distribution. IEEE Transactions in Information Theory, 12(1), 75–77) depends on its density function. But, there are several models with intractable cumulative distribution functions, but do have explicit quantile functions. For this reason, in this work, we propose quantile version of the IGF, and then explore some of its properties. Effect of increasing transformations on it is then studied. Bounds are also obtained. The proposed generating function is studied especially for escort and generalized escort distributions. Some connections between the quantile-based IGF (Q-IGF) order and well-known stochastic orders are established. Finally, the proposed Q-IGF is extended for residual and past lifetimes as well. Several examples are presented through out to illustrate the theoretical results established here. An inferential application of the proposed methodology is also discussed

In this work, we consider two sets of dependent variables $\{X_{1},\ldots,X_{n}\}$ and $\{Y_{1},\ldots,Y_{n}\}$, where $X_{i}\sim EW(\alpha_{i},\lambda_{i},k_{i})$ and $Y_{i}\sim EW(\beta_{i},\mu_{i},l_{i})$, for $i=1,\ldots, n$, which are coupled by Archimedean copulas having different generators. We then establish different inequalities between two extremes, namely, $X_{1:n}$ and $Y_{1:n}$ and $X_{n:n}$ and $Y_{n:n}$, in terms of the usual stochastic, star, Lorenz, hazard rate, reversed hazard rate and dispersive orders. Several examples and counterexamples are presented for illustrating all the results established here. Some of the results here extend the existing results of [5] (Barmalzan, G., Ayat, S.M., Balakrishnan, N., & Roozegar, R. (2020). Stochastic comparisons of series and parallel systems with dependent heterogeneous extended exponential components under Archimedean copula. Journal of Computational and Applied Mathematics 380: Article No. 112965).

We establish here an integral inequality for real log-concave functions, which can be viewed as an average monotone likelihood property. This inequality is then applied to examine the monotonicity of failure rates.

We focus on exponential semi-Markov decision processes with unbounded transition rates. We first provide several sufficient conditions under which the value iteration procedure converges to the optimal value function and optimal deterministic stationary policies exist. These conditions are also valid for general semi-Markov decision processes possibly with accumulation points. Then, we apply our results to a service rate control problem with impatient customers. The resulting exponential semi-Markov decision process has unbounded transition rates, which makes the well-known uniformization technique inapplicable. We analyze the structure of the optimal policy and the monotonicity of the optimal value function by using the customization technique that was introduced by the author in prior work.

This paper considers the first passage times to constant boundaries and the two-sided exit problem for Lévy process with a characteristic exponent in which at least one of the two jumps having rational Laplace transforms. The joint distribution of the first passage times and undershoot/overshoot are obtained. The processes recover many models that have appeared in the literature such as the compound Poisson risk models, the perturbed compound Poisson risk models, and their dual ones. As applications, we obtain the solutions for popular path-dependent options such as lookback and barrier options in terms of Laplace transforms.

In this paper, the ordering properties of convex and increasing convex orders of the dependent random variables are studied. Some closure properties of the convex and increasing convex orders under independent random variables are extended to the dependent random variables under the Archimedean copula. Two applications are provided to illustrate our results.

A system experiences random shocks over time, with two critical levels, d1 and d2, where $d_{1} \lt d_{2}$. k consecutive shocks with magnitudes between d1 and d2 partially damaging the system, causing it to transition to a lower, partially working state. Shocks with magnitudes above d2 have a catastrophic effect, resulting in complete failure. This theoretical framework gives rise to a multi-state system characterized by an indeterminate quantity of states. When the time between successive shocks follows a phase-type distribution, a detailed analysis of the system’s dynamic reliability properties such as the lifetime of the system, the time it spends in perfect functioning, as well as the total time it spends in partially working states are discussed.