Stop-loss and limited loss random variables are two important transforms of a loss random variable and appear in many modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured by risk measures. When only partial information...

In the field of the Design and Analysis of Computer Experiments (DACE) meta-models are used to approximate time-consuming simulations. These simulations often contain simulation-model errors in the output variables. In the construction of meta-models, these errors are often ignored....

In this paper we apply the idea of the WKB method to derive an effective single lognormal approximation for the probability distribution of the sum of two correlated lognormal variables. An approximate probability distribution of the sum is determined in closed form, and illustrative numerical...

This paper shows how de Finetti's book-making principle, commonly used to justify additive subjective probabilities, can be modified to agree with some nonexpected utility models. More precisely, a new foundation of the rank-dependent models is presented that is based on a comonotonic extension...

In this paper, we study the moment transform of both univariate and multivariate compound sums. We first derive simple explicit formulas for the first and second moment transforms when the (loss) frequency distribution is in the so-called (a,b,0) class. Then we show that the derived formulas can...

We study the problem of how to design a sparse flexible process structure in a balanced and symmetrical production system to match supply with random demand more effectively. Our goal is to provide an optimal design, i.e., the sparsest design, to achieve (1-ε)-optimality relative to the fully...