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...

ver descrição completa

Detalhes bibliográficos
Autores: Castañer, Anna, Claramunt Bielsa, M. Mercè, Lefèvre, Claude, Loisel, Stéphane
Formato: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2015
País:España
Recursos:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:recercat.cat:2445/102737
Acesso em linha:https://hdl.handle.net/2445/102737
Access Level:acceso abierto
Palavra-chave:Models matemàtics
Risc (Assegurances)
Risc (Economia)
Mathematical models
Risk (Insurance)
Risk
id ES_920d03315b6d54f476df2e1f00cb38ca
oai_identifier_str oai:recercat.cat:2445/102737
network_acronym_str ES
network_name_str España
repository_id_str
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.Elsevier2016201720152016info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersion20 p.application/pdfapplication/pdfhttps://hdl.handle.net/2445/102737Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésVersió 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:recercat.cat:2445/1027372026-05-29T05:05:01Z
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
2016
2016
2017
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 20 p.
application/pdf
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:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869413440262504448
score 15,812429

Registos relacionados