Discrete Schur-constant models

Anna Castañer, Maria Mercè Claramunt, Claude Lefèvre () and Stéphane Loisel
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Anna Castañer: UB - Universitat de Barcelona
Maria Mercè Claramunt: UB - Universitat de Barcelona
Claude Lefèvre: ULB - Département de Mathématique [Bruxelles] - ULB - Faculté des Sciences [Bruxelles] - ULB - Université libre de Bruxelles

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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
Note: View the original document on HAL open archive server: https://hal.science/hal-01081756v1
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Citations: View citations in EconPapers (7)

Published in Journal of Multivariate Analysis, 2015, 140 (September 2015), pp.343-362

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Journal Article: Discrete Schur-constant models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01081756

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