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Dynamic dependence ordering for Archimedean copulas and distorted copulas

Arthur Charpentier (2008)

Kybernetika

This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i. e. given remaining lifetimes X , to compare the dependence of X given X > t , and X given X > s , where s > t . More precisely, analytical results will be obtained in the case the survival copula of X is either Archimedean or a distorted copula. The case of a frailty based model will also be discussed in details.

Equivalent or absolutely continuous probability measures with given marginals

Patrizia Berti, Luca Pratelli, Pietro Rigo, Fabio Spizzichino (2015)

Dependence Modeling

Let (X,A) and (Y,B) be measurable spaces. Supposewe are given a probability α on A, a probability β on B and a probability μ on the product σ-field A ⊗ B. Is there a probability ν on A⊗B, with marginals α and β, such that ν ≪ μ or ν ~ μ ? Such a ν, provided it exists, may be useful with regard to equivalent martingale measures and mass transportation. Various conditions for the existence of ν are provided, distinguishing ν ≪ μ from ν ~ μ.

Events of Borel Sets, Construction of Borel Sets and Random Variables for Stochastic Finance

Peter Jaeger (2014)

Formalized Mathematics

We consider special events of Borel sets with the aim to prove, that the set of the irrational numbers is an event of the Borel sets. The set of the natural numbers, the set of the integer numbers and the set of the rational numbers are countable, so we can use the literature [10] (pp. 78-81) as a basis for the similar construction of the proof. Next we prove, that different sets can construct the Borel sets [16] (pp. 9-10). Literature [16] (pp. 9-10) and [11] (pp. 11-12) gives an overview, that...

Fuzzification of crisp domains

Roman Frič, Martin Papčo (2010)

Kybernetika

The present paper is devoted to the transition from crisp domains of probability to fuzzy domains of probability. First, we start with a simple transportation problem and present its solution. The solution has a probabilistic interpretation and it illustrates the transition from classical random variables to fuzzy random variables in the sense of Gudder and Bugajski. Second, we analyse the process of fuzzification of classical crisp domains of probability within the category I D of D -posets of fuzzy...

Generated fuzzy implications and fuzzy preference structures

Vladislav Biba, Dana Hliněná (2012)

Kybernetika

The notion of a construction of a fuzzy preference structures is introduced. The properties of a certain class of generated fuzzy implications are studied. The main topic in this paper is investigation of the construction of the monotone generator triplet ( p , i , j ) , which is the producer of fuzzy preference structures. Some properties of mentioned monotone generator triplet are investigated.

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