Discrete Schur-constant models - Archive ouverte HAL Access content directly
Journal Articles Journal of Multivariate Analysis Year : 2015

Discrete Schur-constant models

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.
Fichier principal
Vignette du fichier
Castaner-Claramunt-Lefevre-Loisel.pdf (250.26 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-01081756 , version 1 (10-11-2014)

Identifiers

  • HAL Id : hal-01081756 , version 1

Cite

Anna Castañer, Maria Mercè Claramunt, Claude Lefèvre, Stéphane Loisel. Discrete Schur-constant models. Journal of Multivariate Analysis, 2015, 140 (September 2015), pp.343-362. ⟨hal-01081756⟩
204 View
325 Download

Share

Gmail Facebook X LinkedIn More