A class of location-independent variability orders, with applications
Moshe Shaked, Miguel A. Sordo, and Alfonso Suárez-Llorens
Source: J. Appl. Probab. Volume 47, Number 2
(2010), 407-425.
Abstract
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 h is obtained. Applications in poverty comparisons, risk management, and reliability theory are described.
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Keywords: Dispersive order; excess wealth order; stochastic order; location-independent riskier order; increasing convex and concave orders; poverty measure; risk comparison; taxation policy; NBU; IFR
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Permanent link to this document: http://projecteuclid.org/euclid.jap/1276784900
Digital Object Identifier: doi:10.1239/jap/1276784900
Zentralblatt MATH identifier: 05758478
Mathematical Reviews number (MathSciNet): MR2668497
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