• Industrial Engineering and Management Systems
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• 제10권2호
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• pp.154-160
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• 2011

In this paper, a reliability sampling plan under progressively type-1 interval censoring is proposed when the lifetime of products follows the Pareto distribution of second kind. We use the maximum likelihood estimator for the median life and its asymptotic distribution. The cost model is proposed and the design parameters are determined such that the given producer's and the consumer's risks are satisfied. Tables are given and the results are explained with examples.

• Communications for Statistical Applications and Methods
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• 제17권5호
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• pp.725-731
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• 2010

Economic Reliability test plans(ERTP) are proposed considering that the life time of the submitted items follow the Pareto distribution of the second kind. For various specified acceptance number, sample size and producer's risk, a minimum test termination time is obtained. A comparison of proposed plan has been made with the existing plan developed by Aslam et al. (2010). The results are explained by tables and example.

• 충청수학회지
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• 제25권3호
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• pp.501-505
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• 2012

In this paper, general classes of continuous distributions are characterized by considering the conditional expectations of functions of upper record statistics. The specific distribution considered as a particular case of the general class of distribution are Exponential, Exponential Power(EP), Inverse Weibull, Beta Gumbel, Modified Weibull(MW), Weibull, Pareto, Power, Singh-Maddala, Gumbel, Rayleigh, Gompertz, Extream value 1, Beta of the first kind, Beta of the second kind and Lomax.

• Communications for Statistical Applications and Methods
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• 제12권3호
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• pp.729-742
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• 2005

In this paper, we discuss the propriety of the various noninformative priors for the Pareto distribution. The reference prior, Jeffreys prior and ad hoc noninformative prior which is used in several literatures will be introduced and showed that which prior gives the proper posterior distribution. The reference prior and Jeffreys prior give a proper posterior distribution, but ad hoc noninformative prior which is proportional to reciprocal of the parameters does not give a proper posterior. To compute survival function, we use the well-known approximation method proposed by Lindley (1980) and Tireney and Kadane (1986). And two methods are compared by simulation. A real data example is given to illustrate our methodology.

• 재무관리연구
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• 제2권1호
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• pp.55-75
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• 1986

This article is to analyse the economic efficiency of capital market, which plays a role of resource allocation in terms of financial claims such as stock and bond. It provides various contributions to the welfare theoretical aspects of modern capital market theory. The key feature that distinguishes the theory described here from traditional welfare theory is the presence of uncertainty. Securities has time dimensions and the state and outcome of the future are really uncertain. This problem resulting from this uncertainty can be solved by complete market, but it has a weak power to explain real stock market. Capital Market is faced with the uncertainity because it is a kind of incomplete market. Individuals and firms in capital market made their consumption-investment decision by their own criteria, i. e. the maximization of expected utility form intertemporal consumption and the maximization of the market value of firm. We noted that allocative decisions that had to be made in the economy could be naturally subdivided into two groups. One set of decisions concerned the allocation of first-period resources among consumption $C_i$, investment in risky firms $I_j$, and riskless investment M. The other decisions concern the distribution among individuals of income available in the second period $Y_i(\theta)$. Corresponing to this grouping, the theoretical analysis of efficiency has also been dichotomized. The optimality of the distribution of output in the second period is distributive efficiency" and the optimality of the allocation of first-period resources is 'the efficiency of investment'. We have found in the distributive efficiency that the conditions for attainability is the same as the conditions for market optimality. The necessary and sufficient conditions for attainability or market optimality is that (1) all utility functions are such that -$\frac{{U_i}^'(Y_i)}{{U_i}^"(Y_i)}={\mu}_i+{\lambda}Y_i$-linear risk tolerance function where the coefficients ${\mu}_i$ and $\lambda$ are independent of $Y_i$, and (2) there are homogeneous expectations, i. e. ${\Large f}_i(\theta)={\Large f}(\theta)$ for every i. On the other hand, the efficiency of investment has disagreement about optimal investment level. The investment level for market rule will not generally lead to Pareto-optimal allocation of investment. This suboptimality is caused by (1)the difference of Diamond's decomposable production function and mean-variance valuation model and (2) the selection of exelusive investment or competitive investment. In conclusion, this article has made an analysis of conditions and processes of Pareto-optimal allocation of resources in capital marker and tried to connect with significant issues in modern finance.