Decomposition of a Schur-constant model and its applications

Yichun Chi, Jingping Yang and Yongcheng Qi

Insurance: Mathematics and Economics, 2009, vol. 44, issue 3, pages 398-408

Abstract: In this paper, the dependence structure of a Schur-constant model is investigated. A necessary and sufficient condition for a random vector to be Schur-constant is given, and some properties of the Schur-constant model are presented as well. Several applications of the Schur-constant model in insurance and finance are discussed.

Keywords: Schur-constant; model; Stochastic; orders; Archimedean; copula; Kendall's; tau; Spearman's; rho (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:44:y:2009:i:3:p:398-408

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