Publication: Percentile residual life orders
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2008-11
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Abstract
In this paper we study a family of stochastic orders of random variables defined
via the comparison of their percentile residual life functions. Some interpretations
of these stochastic orders are given, and various properties of them are derived.
The relationships to other stochastic orders are also studied. Finally, some
applications in reliability theory and finance are described.
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Keywords
Mean residual life function, Hazard rate order, Reversed hazard rate order, Mixtures, Lehmann's alternative, Proportional hazards, Imperfect repair, Reliability theory, Value at risk, Deductible