Article ID Journal Published Year Pages File Type
1145436 Journal of Multivariate Analysis 2015 20 Pages PDF
Abstract

This paper introduces a class of Schur-constant survival models, of dimension nn, for arithmetic non-negative random variables. Such a model is defined through a univariate survival function that is shown to be nn-monotone. Two general representations are obtained, by conditioning on the sum of the nn 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.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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