Consider a discrete-time insurance risk model. Within period i, the net insurance loss is denoted by a real-valued random variableXi . The insurer makes both risk-free and risky investments, leading to an overall stochastic discount factor Yi from time i to time i − 1. Assume that (Xi, Yi), i ∈ N, form a sequence of independent and identically distributed random pairs following a common bivaria...

in 2004, rodr'{i}guez-lallena and '{u}beda-flores have introduced a class of bivariate copulas which generalizes some known families such as the farlie-gumbel-morgenstern distributions. in 2006, dolati and '{u}beda-flores presented multivariate generalizations of this class. then in 2011, kim et al. generalized rodr'{i}guez-lallena and '{u}beda-flores' study to any...

Abstract This paper brings some insights of $$\psi '$$ ψ ′ -mixing, ^*$$ ∗ -mixing and $$\psi$$ for copula-based Markov chains the perturbations their copulas. We provide new tools to check or -mixing. show that are while not necessarily chains, even wh...

Abstract Bivariate polynomial copulas of degree 5 (containing the family Eyraud-Farlie-Gumbel-Morgenstern copulas) are in a one-to-one correspondence to certain real parameter triplets ( , b c ), i.e., some set polynomials two variables 1: p x y ) = ax + by . The parameters yielding copula is characterized and visualized detail. Polynomial satisfying particular (in)equalities (symmetry, Schur c...

A new two-parameter lifetime distribution is proposed and numerically studied. The model has a flflexible failure rate shapes such as “monotonically increasing” , decreasing” “bathtub” “constant” “upside down” “J-shape” . Various of its statistical properties are derived. numerical analysis skewness kurtosis presented. Many bivariate multivariate extensions also presented via Farlie Gumbel Morg...

Abstract In this article, a new reciprocal Rayleigh extension called the Xgamma model is defined and studied. The relevant statistical properties are derived, useful results related to convexity concavity addressed. We discussed estimation of parameters using different methods such as maximum likelihood method, ordinary least squares weighted Cramer-Von-Mises bootstrapping method. A simulation ...

In the present paper Shannon’s entropy for concomitants of generalized order statistics in FGM family is obtained. Application of this result is given for order statistics, record values, k-record values, and progressive type II censored order statistics. Also, we show that the Kullback-Leibler distance among the concomitants of generalized order statistics is distributionfree.

Several extensions of the family (bivariate) Eyraud-Farlie-Gumbel-Morgenstern copulas (EFGM copulas) are considered. Some them well-known from literature, others have recently been suggested (copulas based on quadratic constructions, some forms convexity, and polynomial copulas). For each these we analyze which properties EFGM preserved (or even improved) (partly) lost. Such can be structural (...

In this paper, the marginal distribution of concomitants k − record values (CKR) based on Huang–Kotz Farlie–Gumbel–Morgenstern (HK-FGM) family bivariate distributions is derived. addition, we obtained joint CKR for family. Also, hazard rate, reversed and residual life functions using HK-FGM The weighted extropy ...