Discrete Schur-constant models

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...

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Detalles Bibliográficos
Autores: Castañer, Anna, Claramunt Bielsa, M. Mercè, Lefèvre, Claude, Loisel, Stéphane
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2015
País:España
Institución:Universidad de Barcelona
Repositorio:Dipòsit Digital de la UB
OAI Identifier:oai:diposit.ub.edu:2445/102737
Acceso en línea:https://hdl.handle.net/2445/102737
Access Level:acceso abierto
Palabra clave:Models matemàtics
Risc (Assegurances)
Risc (Economia)
Mathematical models
Risk (Insurance)
Risk
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spelling Discrete Schur-constant modelsCastañer, AnnaClaramunt Bielsa, M. MercèLefèvre, ClaudeLoisel, StéphaneModels matemàticsRisc (Assegurances)Risc (Economia)Mathematical modelsRisk (Insurance)RiskThis 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.Elsevier2015info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2445/102737Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)reponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésVersió postprint del document publicat a: http://www.sciencedirect.com/science/article/pii/S0047259X15001463Journal of Multivariate Analysis, 2015, vol. 140, p. 343-362cc-by-nc-nd (c) Elsevier, 2015http://creativecommons.org/licenses/by-nc-nd/3.0/esinfo:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/1027372026-05-27T06:46:51Z
dc.title.none.fl_str_mv Discrete Schur-constant models
title Discrete Schur-constant models
spellingShingle Discrete Schur-constant models
Castañer, Anna
Models matemàtics
Risc (Assegurances)
Risc (Economia)
Mathematical models
Risk (Insurance)
Risk
title_short Discrete Schur-constant models
title_full Discrete Schur-constant models
title_fullStr Discrete Schur-constant models
title_full_unstemmed Discrete Schur-constant models
title_sort Discrete Schur-constant models
dc.creator.none.fl_str_mv Castañer, Anna
Claramunt Bielsa, M. Mercè
Lefèvre, Claude
Loisel, Stéphane
author Castañer, Anna
author_facet Castañer, Anna
Claramunt Bielsa, M. Mercè
Lefèvre, Claude
Loisel, Stéphane
author_role author
author2 Claramunt Bielsa, M. Mercè
Lefèvre, Claude
Loisel, Stéphane
author2_role author
author
author
dc.subject.none.fl_str_mv Models matemàtics
Risc (Assegurances)
Risc (Economia)
Mathematical models
Risk (Insurance)
Risk
topic Models matemàtics
Risc (Assegurances)
Risc (Economia)
Mathematical models
Risk (Insurance)
Risk
description 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.
publishDate 2015
dc.date.none.fl_str_mv 2015
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/102737
url https://hdl.handle.net/2445/102737
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: http://www.sciencedirect.com/science/article/pii/S0047259X15001463
Journal of Multivariate Analysis, 2015, vol. 140, p. 343-362
dc.rights.none.fl_str_mv cc-by-nc-nd (c) Elsevier, 2015
http://creativecommons.org/licenses/by-nc-nd/3.0/es
info:eu-repo/semantics/openAccess
rights_invalid_str_mv cc-by-nc-nd (c) Elsevier, 2015
http://creativecommons.org/licenses/by-nc-nd/3.0/es
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)
reponame:Dipòsit Digital de la UB
instname:Universidad de Barcelona
instname_str Universidad de Barcelona
reponame_str Dipòsit Digital de la UB
collection Dipòsit Digital de la UB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300724

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