Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/102737
Title: | Discrete Schur-constant models |
Author: | Castañer, Anna Claramunt Bielsa, M. Mercè Lefèvre, Claude Loisel, Stéphane |
Keywords: | Models matemàtics Risc (Assegurances) Risc (Economia) Mathematical models Risk (Insurance) Risk |
Issue Date: | 10-Jun-2015 |
Publisher: | Elsevier |
Abstract: | This paper introduces a class of Schur-constant survival models, of dimension n, for arithmetic non-negative random variables. Such a model is defined through a univariate survival function that is shown to be n-monotone. Two general representations are obtained, by conditioning on the sum of the n variables or through a doubly mixed multinomial distribution. Several other properties including correlation measures are derived. Three processes in insurance theory are discussed for which the claim interarrival periods form a Schur-constant model. |
Note: | Versió postprint del document publicat a: http://www.sciencedirect.com/science/article/pii/S0047259X15001463 |
It is part of: | Journal of Multivariate Analysis, 2015, vol. 140, p. 343-362 |
URI: | http://hdl.handle.net/2445/102737 |
ISSN: | 0047-259X |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
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