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Discrete Schur-constant models in inssurance

By Claude Lefèvre

Appears in collection : Thematic month on statistics - Week 4: Extremes, copulas and actuarial science / Mois thématique sur les statistiques - Semaine 4 : Extrêmes, copules et actuariat

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. This is a joint work with A. Castaner, M.M. Claramunt and S. Loisel.

Keywords: Schur-constant property; survival function; multiple monotonicity; mixed multinomial distribution; insurance risk theory

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Citation data

  • DOI 10.24350/CIRM.V.18934403
  • Cite this video Lefèvre Claude (2/25/16). Discrete Schur-constant models in inssurance. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.18934403
  • URL https://dx.doi.org/10.24350/CIRM.V.18934403


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