Preservation of weak SAI’s under increasing transformations with applications

Chen Li and Xiaohu Li

Statistics & Probability Letters, 2020, vol. 164, issue C

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 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108828

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