Association of Random Variables, with Applications

Esary, J. D.; Proschan, Frank; Walkup, David W.

doi:10.1214/aoms/1177698701

Cited by 1,098 publications

(511 citation statements)

References 4 publications

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“…Then, from the discussions in Esary et al (1967), the forward price F (without banking) is always higher than E[S 1 ], irrespective of the distribution ofẼ 1 . This means that the permit market will show contango when dependence betweenẼ 1 andR 1 is not so strong.…”

Section: Contango Vs Normal Backwardationmentioning

confidence: 99%

Equilibrium pricing of contingent claims in tradable permit markets

Kijima

Maeda

Nishide

2009

Journal of Futures Markets

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Abstract. In this paper, we construct a permit market model to derive a pricing formula of contingent claims traded in the market in a general equilibrium framework. It is shown that prices of contingent claims exhibit significantly different properties from those in the ordinary financial markets. In particular, if the social cost function kinks at some level of abatement, the forward price as well as the spot price can be subject to the so-called price spike. However, this price-spike phenomenon can be weakened if the system of banking and borrowing is properly introduced.JEL classification: Q56, G13, G38.

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Section: Contango Vs Normal Backwardationmentioning

confidence: 99%

Equilibrium pricing of contingent claims in tradable permit markets

Kijima

Maeda

Nishide

2009

Journal of Futures Markets

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“…The above definition of association was given in Esary, Proschan, and Walkup (1967). These authors were motivated by considerations in statistics and reliability theory.…”

Section: Associated Random Variables and The Central Limit Theoremmentioning

confidence: 99%

Discrete-Time Risk Processes with After-Effects and Association

Zaphiropoulos

Zazanis

2010

Stochastic Models

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We present a simple discrete-time model of a risk process in which primary claims are followed by secondary claims representing after-effects. It is shown that the resulting discrete-time process is associated. Estimates for finite and infinite horizon ruin probabilities are then obtained via a diffusion approximation that is based on the classic Functional Central Limit Theorem of Newman and Wright (1981) for sequences of associated random variables.

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“…from N R to R. If X is associated, it follows from the definition that the components of X are pair-wise positively correlated. The other facts about associated random vectors used in the proof of the following theorem are taken from Esary, Proschan and Walkup [4]. Now the theorem follows from the following property of associated random vectors:…”

Section: Projects With Independent Activitiesmentioning

confidence: 99%

On path correlation and PERT bias

Banerjee

Paul

2008

European Journal of Operational Research

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Most studies of project time estimation assume that (a) activity times are mutually independent random variables; many also assume that (b) path completion times are mutually independent. In this paper, we subject the impact of both these assumptions to close scrutiny. Using tools from multivariate analysis, we make a theoretical study of the direction of the error in the classical PERT method of estimating mean project completion time when correlation is ignored. We also investigate the effect of activity dependence on the normality of path length via simulation.

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Association of Random Variables, with Applications

Cited by 1,098 publications

References 4 publications

Equilibrium pricing of contingent claims in tradable permit markets

Equilibrium pricing of contingent claims in tradable permit markets

Discrete-Time Risk Processes with After-Effects and Association

On path correlation and PERT bias

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