Université de Lyon (92 rue Pasteur - CS 30122, 69361 Lyon Cedex 07 - France)
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.
https://hal.archives-ouvertes.fr/hal-01081756
Contributeur : Stéphane Loisel
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Soumis le : lundi 10 novembre 2014 - 20:56:27
Dernière modification le : jeudi 7 février 2019 - 16:48:11
Document(s) archivé(s) le : mercredi 11 février 2015 - 15:41:15
