Franco Pellerey


  Research interest:
Stochastic orders and their applications
Aging notions and related properties
Stochastic processes and their applications in insurance and finance

Curriculum Vitae

  Probability and Statistics group of the Department
 

Events organized:
International School "Stochastic Comparisons: Theory and Applications"
 

  Doctorate thesis:
  C. Zucca. " Analytical, numerical and Monte Carlo techniques for the study of the first passage times. (2001)
P. Semeraro. "Positive dependence notions and applications" (2004)
R. Rodriguez-Grinolo. "A new approach to multivariate lifetime distributions based on the excess-wealth concept" (2010) 
 
 

Local coordination of grants by the Italian Miur:
2002/2003: Heterogenous beliefs and the value of information.
2003/2004: Concepts of supermodularity in economic theory.

Recent publications

(For the whole list see here)

 

  • F. Pellerey, M. Shaked and J. Zinn. Nonhomogeneous Poisson Processes and Logconcavity. Probability in the Engineering and Informational Science, 14 (2000), 353-375. Abstract
  • F. Pellerey. Random Vectors with HNBUE Marginal Distributions. Statistics and Probability Letters, 50 (2000), 265-271. Abstract
  • A. Di Crescenzo and F. Pellerey. Stochastic Comparison of Wear Processes Characterized by Random Linear Wear Rates, Second International Conference on Mathematical Methods in Reliability (Bordeaux 2000), 339-342. Abstract 
  • F. Belzunce, R. Lillo, F. Pellerey and M. Shaked. Preservation of Association in Multivariate Shock and Claim Models. Operations Research Letters, 30, 2002, 223-230. Abstract
  • F. Pellerey and K. Petakos. On Closure Property of the NBUC Class Under Formation of Parallel Systems. IEEE Transactions on Reliability 51, 2002, 452-454. Abstract
  • A. Di Crescenzo, F. Pellerey. On Prices' Evolutions based on Geometric Telegrapher's Process. Applied Stochastic Models in Business and Industry, 18 (2002), 171-184. Abstract
  • F. Pellerey, P. Semeraro. Convex comparisons for discrete--time claim processes with correlated risks. Atti del XXVI Convegno A.M.A.S.E.S., Università di Verona, 11--14 Settembre 2002, 389--392. Paper
  • X. Gao, F. Belzunce, T. Hu and F. Pellerey. Developments on some preservation properties of the Laplace transform order of residual lives, (2002). Technical report, Department of Statistics and Finance, University of Science and Technology of China, Hefei, China. Abstract
  • P. Semeraro and F. Pellerey. Aging and Stochastic Comparisons for a Covariate Failure Model, Journal of Applied Probability 39 (2002), 421-425. Abstract
  • R. Lillo, F. Pellerey, P. Semeraro and M. Shaked. On the Preservation of Supermodular Order Under Multivariate Claim Models. Ricerche di Matematica 52 (2003), 73-81. Abstract
  • F. Belzunce, X. Gao, T. Hu and F. Pellerey. Characterizations of the hazard rate and IFR aging notions, (2004). Statistics and Probability Letters 70 (2004), 235-242.  Abstract
  • I.A. Ahmad, M. Kayid and F. Pellerey. Further results involving the MIT order and the IMIT class. Probability in the Engineering and Informational Sciences 19 (2005), 377-395. Abstract
  • F. Pellerey and C. Zucca. Stochastic Bounds for the Sparre Andersen Process. Methodology and Computing in Applied Probability 7 (2005), 225-247.  Abstract  
  • F. Pellerey and P. Semeraro. A note on the portfolio selection problem, Theory and Decision 59 (2005), 295-306. Abstract
  • F. Belzunce, E.M. Ortega, F. Pellerey and J.M. Ruiz. Variability of Total Claim Amounts under Dependence between Claims Severity and Number of Claims, (2005). Insurance: Mathematics and Economics 38 (2006), 460-468.  Abstract
  • F. Pellerey. Comparison Results for Branching Processes in Random Environments, Journal of Applied Probability 44, (2007), 142-150. Abstract
  • F. Belzunce, E.M. Ortega, F. Pellerey and J.M. Ruiz. On rankings and top choices in random utility models with dependent utilities. Metrika 66, (2007), 197--212. Abstract
  • A. Astolfi and F. Pellerey. Subjective and objective assessment of acoustically overall environment quality in secondary school classrooms. Journal of Acoustical Society of America 123 (2008), 163-173 Abstract
  • S. Ortobelli and F. Pellerey.  Applications to Portfolio Theory of Market Stochastic Bounds, (2007). Investment Management and Financial Innovations 4 (2007), 25-36. Abstract
  • S. Ortobelli and F. Pellerey. Market Stochastic Bounds with Elliptical Distributions, (2007). Journal of Concrete and Applicable Mathematics 6 (2008), 293-314. Abstract
  • J.M. Fernandez Ponce, E.M. Ortega and F. Pellerey. A note on bisexual Galton-Watson branching processes in random environments.   Scientiae Mathematicae Japonicae  67,  (2008), 183-196. Abstract
  • J.M. Fernandez Ponce, E.M. Ortega and F. Pellerey. Convex comparisons for random sums in random environments and applications.  Probability in the Engineering and Informational Science 22,  (2008), 389-413. Abstract
  • F. Pellerey. On Univariate and Bivariate Aging for Dependent Lifetimes with Archimedean Survival Copulas,  Kybernetica 44 (2008), 795-806 Abstract
  • J.Mulero and F. Pellerey. Bivariate Aging Properties under Archimedean Dependence Structures (2010).  Communications in Statistics – Theory and Methods 39,  3108-3121. Abstract  
  • J.Mulero, F. Pellerey and R. Rodriguez-Grignolo. Stochastic Comparisons for Time Transformed Exponential Models.  Insurance: Mathematics and Applications 46 (2010), 328-333. Abstract   
  • A. Di Crescenzo and F. Pellerey. Improving series and parallel systems through mixtures of duplicated dependent components.  Naval Reseach  Logistics 58 (2011), 365--375.
  • X. Li and F. Pellerey. Generalized Marshall-Olkin Distributions, and Related Bivariate Aging Properties.  Journal of Multivariate Analysis 102 (2011), 1399--1409..
  • J.M. Fernandez Ponce, F. Pellerey and R. Rodriguez-Grignolo. On a new NBUE property in multivariate sense: an application.  Computational Statistics & Data Analysis  55 (2011), 3283--3294.
  • J.M. Fernandez Ponce, F. Pellerey and R. Rodriguez-Grignolo. A characterization of the multivariate excess wealth ordering.  Insurance: Mathematics and Applications 49 (2011), 410--417.
  • A. Di Crescenzo and F. Pellerey. Stochastic comparisons of series and parallel systems with randomized independent components.   Operations Research Letters  39 (2011), 380--384.
  • M. Razapour, M.H. Alamatsaz and F. Pellerey. Multivariate Aging and Archimedean Dependance Structures in High Dimensions.   Communications in Statistics  Theory and Methods (2011), in press.
  • M. Gasparini, F. Pellerey and M. Proietti. Bayesian Hierarchical Models to analyze customer satisfaction data for quality improvement: a case study. Applied Stochastic Models in Business and Industry, in press.


Home