Título:	On the stress-strength reliability of transmuted GEV random variables with applications to financial assets selection
Autor(es):	Oliveira, Melquisadec Souza Quintino, Felipe Sousa Aguiar, Dióscoros Rathie, Pushpa Narayan Santos, Helton Saulo Bezerra dos Fonseca, Tiago Alves da Ozelim, Luan Carlos de Sena Monteiro
ORCID:	https://orcid.org/0009-0005-5863-7041 https://orcid.org/0000-0003-0286-0541 https://orcid.org/0009-0007-5251-4942 https://orcid.org/0000-0002-9790-369X https://orcid.org/0000-0002-4467-8652 https://orcid.org/0009-0004-5147-4393 https://orcid.org/0000-0002-2581-0486
Afiliação do autor:	University of Brasília, Department of Statistics University of Brasília, Department of Statistics Universidade Federal de Jataí, Instituto de Ciências Exatas e Tecnológicas University of Brasília, Department of Statistics University of Brasília, Department of Statistics University of Brasília, Gama Engineering College University of Brasília, Department of Civil and Environmental Engineering
Assunto:	Modelos estocásticos Confiabilidade tensão-resistência Distribuição (Probabilidades)
Data de publicação:	23-Mai-2024
Editora:	MDPI
Referência:	OLIVEIRA, Melquisadec et al. On the stress-strength reliability of transmuted GEV random variables with applications to financial assets selection. Entropy, [S. l.], v. 26, n. 6, 441, 2024. DOI: https://doi.org/10.3390/e26060441. Disponível em: https://www.mdpi.com/1099-4300/26/6/441. Acesso em: 20 out. 2024.
Abstract:	In reliability contexts, probabilities of the type R = P(X < Y), where X and Y are random variables, have shown to be useful tools to compare the performance of these stochastic entities. By considering that both X and Y follow a transmuted generalized extreme-value (TGEV) distribution, new analytical relationships were derived for R in terms of special functions. The results hereby obtained are more flexible when compared to similar results found in the literature. To highlight the applicability and correctness of our results, we conducted a Monte-Carlo simulation study and investigated the use of the reliability measure P(X < Y) to select among financial assets whose returns were characterized by the random variables X and Y. Our results highlight that R is an interesting alternative to modern portfolio theory, which usually relies on the contrast of involved random variables by a simple comparison of their means and standard deviations.
Unidade Acadêmica:	Instituto de Ciências Exatas (IE) Departamento de Estatística (IE EST) Faculdade UnB Gama (FGA) Faculdade de Tecnologia (FT) Departamento de Engenharia Civil e Ambiental (FT ENC)
Programa de pós-graduação:	Programa de Pós-Graduação em Estatística
Licença:	© 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https:// creativecommons.org/licenses/by/ 4.0/)
DOI:	https://doi.org/10.3390/e26060441
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