Conditional risk measures and their associated risk contribution measures are commonly employed in finance and actuarial science for evaluating systemic risk and quantifying the effects of risk interactions. This paper introduces various types of contribution ratio measures based on the multivariate conditional value-at-risk (MCoVaR), multivariate conditional expected shortfall (MCoES), and multivariate marginal mean excess (MMME) studied in [34] (Ortega-Jiménez, P., Sordo, M., & Suárez-Llorens, A. (2021). Stochastic orders and multivariate measures of risk contagion. Insurance: Mathematics and Economics, vol. 96, 199–207) and [11] (Das, B., & Fasen-Hartmann, V. (2018). Risk contagion under regular variation and asymptotic tail independence. Journal of Multivariate Analysis 165(1), 194–215) to assess the relative effects of a single risk when other risks in a group are in distress. The properties of these contribution risk measures are examined, and sufficient conditions for comparing these measures between two sets of random vectors are established using univariate and multivariate stochastic orders and statistically dependent notions. Numerical examples are presented to validate these conditions. Finally, a real dataset from the cryptocurrency market is used to analyze the spillover effects through our proposed contribution measures.

Decentralized consensus protocols have a variety of parameters to be set during their deployment for practical applications in blockchains. The analysis given in most research papers proves the security state of the blockchain, at the same time usually providing a range of acceptable values, thus allowing further tuning of the protocol parameters. In this paper, we investigate Ouroboros Praos, the proof-of-stake consensus protocol deployed in Cardano and other blockchains. In contrast to its predecessor, Praos allows multiple honest slot leaders that lead to fork creation and resolution, consequently decreasing the block rate per time unit. In our analysis of dependence on protocol parameters such as active slot coefficient and p2p network block propagation time, we obtain new theoretical results and explicit formulas for the expectation of the length of the longest chain created during the Praos epoch, the length of the longest unintentional fork created by honest slot leaders, the efficiency of block generation procedure (the ratio of blocks included in the final longest chain vs the total number of created blocks), and other characteristics of the blockchain throughput.

We study these parameters as stochastic characteristics of the block generation process. The model is described in terms of the two-parametric family ξij of independent Bernoulli random variables which generate deformation of the binomial distribution by a positive integer parameter—the delay (deterministic or random). An essential part of our paper is a study of this deformation in terms of denumerable Markov chains and generating functions.

We consider the moments and the distribution of hitting times on the lollipop graph which is the graph exhibiting the maximum expected hitting time among all the graphs having the same number of nodes. We obtain recurrence relations for the moments of all order and we use these relations to analyze the asymptotic behavior of the hitting time distribution when the number of nodes tends to infinity.

The cumulative residual extropy has been proposed recently as an alternative measure of extropy to the cumulative distribution function of a random variable. In this paper, the concept of cumulative residual extropy has been extended to cumulative residual extropy inaccuracy (CREI) and dynamic cumulative residual extropy inaccuracy (DCREI). Some lower and upper bounds for these measures are provided. A characterization problem for the DCREI measure under the proportional hazard rate model is studied. Nonparametric estimators for CREI and DCREI measures based on kernel and empirical methods are suggested. Also, a simulation study is presented to evaluate the performance of the suggested measures. Simulation results show that the kernel-based estimator performs better than the empirical-based estimator. Finally, applications of the DCREI measure for model selection are provided using two real data sets.

This work studies the reliability function of K-out-of-N systems with a general repair time distribution and a single repair facility. It introduces a new repair mechanism using an effort function, described by a nonlinear ordinary differential equation. Three theoretical results are obtained: regularity properties preventing simultaneous failures and repairs, derivation of a Kolmogorov forward system for micro-state and macro-state probabilities, and comparison of reliability functions of two K-out-of-N systems. An additional hypothesis on the model’s parameters allows us to obtain an ordering relation between the reliability functions. A numerical example demonstrates the model’s practical application and confirms the theoretical results.

We propose Rényi information generating function (RIGF) and discuss its properties. A connection between the RIGF and the diversity index is proposed for discrete-type random variables. The relation between the RIGF and Shannon entropy of order q > 0 is established and several bounds are obtained. The RIGF of escort distribution is derived. Furthermore, we introduce the Rényi divergence information generating function (RDIGF) and discuss its effect under monotone transformations. We present nonparametric and parametric estimators of the RIGF. A simulation study is carried out and a real data relating to the failure times of electronic components is analyzed. A comparison study between the nonparametric and parametric estimators is made in terms of the standard deviation, absolute bias, and mean square error. We have observed superior performance for the newly proposed estimators. Some applications of the proposed RIGF and RDIGF are provided. For three coherent systems, we calculate the values of the RIGF and other well-established uncertainty measures, and similar behavior of the RIGF is observed. Further, a study regarding the usefulness of the RDIGF and RIGF as model selection criteria is conducted. Finally, three chaotic maps are considered and then used to establish a validation of the proposed information generating function.

We consider the count of subgraphs with an arbitrary configuration of endpoints in the random-connection model based on a Poisson point process on {\mathord{\mathbb R}}^d${\mathord{\mathbb R}}^d$. We present combinatorial expressions for the computation of the cumulants and moments of all orders of such subgraph counts, which allow us to estimate the growth of cumulants as the intensity of the underlying Poisson point process goes to infinity. As a consequence, we obtain a central limit theorem with explicit convergence rates under the Kolmogorov distance and connectivity bounds. Numerical examples are presented using a computer code in SageMath for the closed-form computation of cumulants of any order, for any type of connected subgraph, and for any configuration of endpoints in any dimension d{\geq} 1$d{\geq} 1$. In particular, graph connectivity estimates, Gram–Charlier expansions for density estimation, and correlation estimates for joint subgraph counting are obtained.

In this paper, we investigate the number of customers that overlap or coincide with a virtual customer in an Erlang-A queue. Our analysis starts with the fluid and diffusion limit differential equations to obtain the mean and variance of the queue length. We then develop precise approximations for waiting times using fluid limits and the polygamma function. Building on this, we introduce a novel approximation scheme to calculate the mean and variance of the number of overlapping customers. This method facilitates the assessment of transient overlap risks in complex service systems, offering a useful tool for service providers to mitigate significant overlaps during pandemic seasons.

We consider a nonnegative random variable T representing the lifetime of a system. We discuss the residual lifetime T_X=(T-X|T \gt X)$T_X=(T-X|T \gt X)$, where X denotes the random age of the system. We also discuss the mean residual life (MRL) of T at the random time X. It is shown that the MRL at random age (MRLR) is closely related to some well-known variability measures. In particular, we show that the MRLR can be considered a generalization of Gini’s mean difference (GMD). Under the proportional hazards model, we show that the MRLR gives the extended GMD and the extended cumulative residual entropy as special cases. Then, we provide a decomposition result indicating that the MRLR has a covariance representation. Some comparison results are also established for the MRLs of two systems at random ages.

Reliability analysis of stress–strength models usually assumes that the stress and strength variables are independent. However, in numerous real-world scenarios, stress and strength variables exhibit dependence. This paper investigates the reliability estimation in a multicomponent stress–strength model for parallel-series system assuming that the dependence between stress and strength is based on the Clayton copula. The estimators for the unknown parameters and system reliability are derived using the two-step maximum likelihood estimation and the maximum product spacing methods. Additionally, confidence intervals are constructed by utilizing asymptotically normal distribution theory and bootstrap method. Furthermore, Monte Carlo simulations are conducted to compare the effectiveness of the proposed inference methods. Finally, a real dataset is analyzed for illustrative purposes.