This paper proposes a Kolmogorov-type test for the shortfall order (also known in the literature as the right-spread or excess-wealth order) against parametric alternatives. In the case of the null hypothesis corresponding to the Negative Exponential distribution, this provides a test for the...

The revenue ranking of asymmetric auctions with two heterogenous bidders is examined. The main theorem identifies a general environment in which the first-price auction is more profitable than the second-price auction. By using mechanism design techniques, the problem is simplified and several...

Let X1,…,Xn be independent random variables with Xi∼W(α,λi), where W(α,λi) denotes a Weibull distribution with shape parameter α and scale parameter λi, i=1,…,n. Let Y1,…,Yn be a random sample of size n from a Weibull distribution with shape parameter α and a common scale...

Assume that <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$X_1,\ldots , X_n$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <msub> <mi>X</mi> <mn>1</mn> </msub> <mo>,</mo> <mo>…</mo> <mo>,</mo> <msub> <mi>X</mi> <mi>n</mi> </msub> </mrow> </math> </EquationSource> </InlineEquation> are i.i.d. random variables with a common distribution function <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$F$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>F</mi> </math> </EquationSource> </InlineEquation> which precedes a fixed distribution function <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$W$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>W</mi> </math> </EquationSource> </InlineEquation> in the convex transform order. In particular, if <InlineEquation ID="IEq4"> <EquationSource Format="TEX">$$W$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>W</mi> </math> </EquationSource> </InlineEquation> is either uniform or exponential...</equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation>

With the assumption of Archimedean copula for the occurrence frequencies of the risks covered by an insurance policy, this note further investigates the allocation problem of upper limits and deductibles addressed in Hua and Cheung (2008a). Sufficient conditions for a risk averse policyholder to...