At the research and development stage of a product, the manufacturer usually faces the problem of selecting the most reliable design among several competing ones for some parts…
Abstract
At the research and development stage of a product, the manufacturer usually faces the problem of selecting the most reliable design among several competing ones for some parts (or components) of the product in order to enhance the product's quality. It is a great challenge for the manufacturer if these completing designs are highly reliable, since there are few (or even no) failures can be obtained by using traditional life tests or accelerated life tests. In such cases, if there exist product characteristics whose degradation over time can be related to reliability, then collecting “degradation data” can provide information about product reliability. This paper proposes a systematic approach to the selection problem where the products' degradation paths satisfy Wiener processes. First, an intuitively appealing selection rule is proposed and, then, the optimal test plan is derived by using the criterion of minimizing the total experimental cost. The sample size, inspection frequency, and termination time needed by the selection rule for each of competing designs are computed by solving a nonlinear integer programming problem with a minimum probability of correct selection. Finally, an example is provided to illustrate the proposed method.
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Jian‐Hsin Chou and Hong‐Fwu Yu
The main purpose of this paper is to compute the appropriate margin level for the stock index futures traded on the Taiwan Futures Exchange (TAIFEX) and, then, to examine the…
Abstract
Purpose
The main purpose of this paper is to compute the appropriate margin level for the stock index futures traded on the Taiwan Futures Exchange (TAIFEX) and, then, to examine the appropriateness of the real margin requirement set by the TAIFEX.
Design/methodology/approach
This paper develops a new approach assuming the future's prices follow a geometric Brownian motion process. Compared with the extreme value theory that has been intensively used to determine the appropriate futures margin levels, one of the advantages of the present model is no need to specify the frequency at which extremes are taken.
Findings
The evidences indicate that the theoretical margins obtained by the proposed model can provide a more accurate and flexible margin level in accordance with the market volatility.
Research limitations/implications
The main limitation of this approach is that the natural logarithm of the futures prices is assumed to follow a Brownian motion process. However, such an assumption might not be practical for financial returns.
Practical implications
The research is helpful for the clearinghouse to set up its margins policy, especially under various conditions of volatility risks.
Originality/value
This paper proposes a theoretical procedure to set an appropriate futures margin for the TAIFEX. This paper also provides a better understanding of Taiwan's futures market that is newly launched and is useful for investors to hedge and speculate.