Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 5 of 5
Full-Text Articles in Social and Behavioral Sciences
The Smallest Upper Bound For The Pth Absolute Central Moment Of A Class Of Random Variables, Martin Egozcue, Luis Fuentes García, Wing Keung Wong, Ricardas Zitikis
The Smallest Upper Bound For The Pth Absolute Central Moment Of A Class Of Random Variables, Martin Egozcue, Luis Fuentes García, Wing Keung Wong, Ricardas Zitikis
Martin Egozcue
We establish the smallest upper bound for the p absolute central moment over the class of all random variables with values in a compact interval. Numerical values of the bound are calculated for the first ten integer values of p, and its asymptotic behaviour derived when p tends to infinity. In addition, we establish an analogous bound in the case of all symmetric random variables with values in a compact interval. Such results play a role in a number of areas including actuarial science, economics, finance, operations research, and reliability.
An Optimal Strategy For Maximizing The Expected Real- Estate Selling Price: Accept Or Reject An Offer?, Martin Egozcue, Luis Fuentes García, Ricardas Zitikis
An Optimal Strategy For Maximizing The Expected Real- Estate Selling Price: Accept Or Reject An Offer?, Martin Egozcue, Luis Fuentes García, Ricardas Zitikis
Martin Egozcue
Motivated by a real-life situation, we put forward a model and then derive an optimal strategy that maximizes the expected real-estate selling price when one of the only two remaining buyers has already made an offer but the other one is yet to make. Since the seller is not sure whether the other buyer would make a lower or higher offer, and given no recall, the seller needs a strategy to decide whether to accept or reject the first-come offer. The herein derived optimal seller's strategy, which maximizes the expected selling price, is illustrated under several scenarios, such as independent …
Convex Combinations Of Quadrant Dependent Copulas, Martin Egozcue, Luis Fuentes García, Wing Wong, Ricardas Zitikis
Convex Combinations Of Quadrant Dependent Copulas, Martin Egozcue, Luis Fuentes García, Wing Wong, Ricardas Zitikis
Martin Egozcue
It is well known that quadrant dependent (QD) random variables are also quadrant dependent in expectation (QDE). Recent literature has offered examples rigorously establishing the fact that there are QDE random variables which are not QD. The examples are based on convex combinations of specially chosen QD copulas: one negatively QD and another positively QD. In this paper we establish general results that determine when convex combinations of arbitrary QD copulas give rise to negatively or positively QD/QDE copulas. In addition to being an interesting mathematical exercise, the established results are helpful when modeling insurance and financial portfolios.
Integration–Segregation Decisions Under General Value Functions: ‘Create Your Own Bundle—Choose 1, 2 Or All 3!’, Martin Egozcue, Sebastien Massoni, Wing Wong, Ricardas Zitkiks
Integration–Segregation Decisions Under General Value Functions: ‘Create Your Own Bundle—Choose 1, 2 Or All 3!’, Martin Egozcue, Sebastien Massoni, Wing Wong, Ricardas Zitkiks
Martin Egozcue
Whether to keep products segregated (e.g., unbundled) or integrate some or all of them (e.g., bundle) has been a problem of profound interest in areas such as portfolio theory in finance, risk capital allocations in insurance and marketing of consumer products. Such decisions are inherently complex and depend on factors such as the underlying product values and consumer preferences, the latter being frequently described using value functions, also known as utility functions in economics. In this paper, we develop decision rules for multiple products, which we generally call ‘exposure units’ to naturally cover manifold scenarios spanning well beyond ‘products’. Our …
Gains From Diversification: A Regret Theory Approach, Martin Egozcue
Gains From Diversification: A Regret Theory Approach, Martin Egozcue
Martin Egozcue
No abstract provided.