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Title: Partially 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)
Issue Date: Jul-2019
Publisher: Elsevier
Abstract: In this paper, we introduce a new multivariate dependence model that generalizes the standard Schur-constant model. The difference is that the random vector considered is partially exchangeable, instead of exchangeable, whence the term partially Schur-constant. Its advantage is to allow some heterogeneity of marginal distributions and a more flexible dependence structure, which broadens the scope of potential applications. We first show that the associated joint survival function is a monotonic multivariate function. Next, we derive two distributional representations that provide an intuitive understanding of the underlying dependence. Several other properties are obtained, including correlations within and between subvectors. As an illustration, we explain how such a model could be applied to risk management for insurance networks.
Note: Versió postprint del document publicat a:
It is part of: Journal of Multivariate Analysis, 2019, vol. 172, num. July, p. 47-58
ISSN: 0047-259X
Appears in Collections:Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

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