Discrete Schur-constant models in inssurance | Vidéo | Carmin.tv

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Discrete Schur-constant models in inssurance

De Claude Lefèvre

Apparaît dans la 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

Informations sur la vidéo

Date de captation 25/02/2016
Date de publication 08/03/2016
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Audience Chercheurs
Réalisateur(s) Guillaume Hennenfent
Format MP4

Données de citation

DOI 10.24350/CIRM.V.18934403
Citer cette vidéo Lefèvre, Claude (25/02/2016). 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

Domaine(s)

Bibliographie

Castañer, A., Claramunt, M.M., Lefèvre, C., & Loisel, S. (2015). Discrete Schur-constant models. Journal of Multivariate Analysis, 140, 343-362 - http://dx.doi.org/10.1016/j.jmva.2015.06.003

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