Applied Stochastic Models in Business and Industry

Elliott, Robert; Hinz, Juri

2003 Applied Stochastic Models in Business and Industry

doi: 10.1002/asmb.482

This paper shows how one can use the theory of hidden Markov models for portfolio optimization. We illustrate our method by a ball and urn experiment. An application to historical data is examined. Copyright © 2003 John Wiley & Sons, Ltd.

Wiklander, Kerstin; Holm, Sture

2003 Applied Stochastic Models in Business and Industry

doi: 10.1002/asmb.464

Methods for estimation of dispersion effects in two‐level unreplicated factorial designs are studied. The consequences of non‐constant variance are discussed. A natural assumption concerning the form of the covariance of location effects leads to a particular normal model. Some linear combinations of the response variables are constructed in order to make a simple structure for inference. The precision of point estimators of dispersion effects, where one is based on experiments with replicates, are compared. A numerical example is given as an illustration of a test. Finally, estimations in fractional designs are described and discussed. Copyright © 2002 John Wiley & Sons, Ltd.

Coppola, Mariarosaria; Di Lorenzo, Emilia; Sibillo, Marilena

2003 Applied Stochastic Models in Business and Industry

doi: 10.1002/asmb.468

The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.

Shah, M. A.; Sharma, Usha

2003 Applied Stochastic Models in Business and Industry

doi: 10.1002/asmb.490

A non‐linear stochastic model has been proposed and analized for fish harvesting. The model encompasses Gordon–Schaefer model and Pella–Tomlinson model that have been used in the study of extensive data on baleen whales, harp seals and Gulf of St. Lawrence cod. It has been established that the harvesting of those species is more profitable in terms of biomass for which data supports α>2, as compared to that for which α⩽2, where α is general index in the model: $${{\rm d}n(t) \over {\rm d}t} = {rn(t)} {\left( {1- \left\{{{n(t)} \over {K}} \right\}^{\alpha-1}} \right)}$$ Copyright © 2003 John Wiley & Sons, Ltd.

Frostig, Esther

2003 Applied Stochastic Models in Business and Industry

doi: 10.1002/asmb.485

We compare different maintenance policies assuming that the system lifetime has either increasing failure rate (IFR), or decreasing failure rate (DFR) distribution. We show that these assumptions yield strongly stochastic comparisons between the process' intensities. This yields weaker stochastic comparison between the processes than the stochastic comparison that hold when the system lifetime is new better than used (NBU) or new worse than used (NWU). Copyright © 2002 John Wiley & Sons, Ltd.

Georganta, Zoe

2003 Applied Stochastic Models in Business and Industry

doi: 10.1002/asmb.486

In contrast to traditional regression analysis, latent variable modelling (LVM) can explicitly differentiate between measurement errors and other random disturbances in the specification and estimation of econometric models. This paper argues that LVM could be a promising approach to test economic theories because applied research in business and economics is based on statistical information, which is frequently inaccurately measured. Considering the theory of industry‐price determination, where the price variables involved are known to include a large measurement error, a latent variable, structural‐equations model is constructed and applied to data on 7381 product categories classified into 295 manufacturing industries of the USA economy. The obtained estimates, compared and evaluated against a traditional regression model fitted to the same data, show the advantages of the LVM analytical framework, which could lead a long drawn‐out conflict between empirical results and theory to a satisfactory reconciliation. Copyright © 2003 John Wiley & Sons, Ltd.