Schur-Constant and Related Dependence Models, with Application to Ruin Probabilities

Claude Lefèvre () and Matthieu Simon ()
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Claude Lefèvre: Université Libre de Bruxelles
Matthieu Simon: University of Melbourne

Methodology and Computing in Applied Probability, 2021, vol. 23, issue 1, 317-339

Abstract: Abstract This paper relates to Schur-constant vectors in their usual continuous version. Our first goal is to highlight the existing links with L1 symmetric Dirichlet vectors and Archimedean copulas. This leads us to briefly review the main properties of these three dependency models. Several special cases, mostly classical, are also examined in this context. Next, a discrete time risk model is considered in which the successive claims amounts constitute a Schur-constant vector. A simple compact formula is obtained for the corresponding probabilities of ruin. Its application is illustrated by some numerical examples.

Keywords: Schur-constant models; L 1 symmetric Dirichlet vectors; Archimedean copulas; Discrete time risk model; Probabilities of ruin; 60E05; 62H05; 91B30 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-019-09744-2

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