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2015-06-10

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cc-by-nc-nd (c) Elsevier, 2015
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/102737

Discrete Schur-constant models

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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.

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Models matemàtics, Risc (Assegurances), Risc (Economia)

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Mathematical models, Risk (Insurance), Risk

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Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

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CASTAÑER, Anna, et al. Discrete Schur-constant models. Journal of Multivariate Analysis. 2015. Vol. 140, num. 343-362. ISSN 0047-259X. [consulted: 15 of June of 2026]. Available at: https://hdl.handle.net/2445/102737

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