Discrete Schur-constant models

Anna Castañer, M.M. Claramunt, C. Lefèvre and Stéphane Loisel

Journal of Multivariate Analysis, 2015, vol. 140, issue C, 343-362

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.

Keywords: Schur-constant property; Survival function; Multiple monotonicity; Mixed multinomial distribution; Insurance risk theory (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (11)

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DOI: 10.1016/j.jmva.2015.06.003

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