Discrete Schur-constant models
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...
Gespeichert in:
| Veröffentlicht in: | Journal of multivariate analysis 2015-09, Vol.140 (September 2015), p.343-362 |
|---|---|
| Hauptverfasser: | , , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 362 |
|---|---|
| container_issue | September 2015 |
| container_start_page | 343 |
| container_title | Journal of multivariate analysis |
| container_volume | 140 |
| creator | Castañer, A. Claramunt, M.M. Lefèvre, C. Loisel, S. |
| description | 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. |
| doi_str_mv | 10.1016/j.jmva.2015.06.003 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_hal_p</sourceid><recordid>TN_cdi_hal_primary_oai_HAL_hal_01081756v1</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0047259X15001463</els_id><sourcerecordid>3766618331</sourcerecordid><originalsourceid>FETCH-LOGICAL-c448t-191e96363e5452d780abf22859f4abea808cc476bfe20979e9393606637210c13</originalsourceid><addsrcrecordid>eNp9kE1Lw0AQhhdRsFb_gAcpePKQOLPJ7mbBS6kfFQoeVPC2bDcTmtAmdTct-O9NTOnRwzLs8D7DzMPYNUKMgPK-iqvN3sYcUMQgY4DkhI0QtIgUT5NTNgJIVcSF_jpnFyFUAIhCpSN281gG56mlybtb7Xzkmjq0tm4nmyandbhkZ4VdB7o61DH7fH76mM2jxdvL62y6iFyaZm2EGknLRCYkUsFzlYFdFpxnQhepXZLNIHMuVXJZEAetNOlEJxKkTBRHcJiM2d0wd2XXZuvLjfU_prGlmU8Xpu8BQoZKyH2fxSHrws4ZT468s-1f-vjpHwfFDZeKC94xtwOz9c33jkJrqmbn6-4kgwpAKQSRdSl-mOybEDwVx1UQTO_ZVKb3bHrPBqTpPHfQwwB1umhfkjfBlVQ7ystundbkTfkf_gssBIIo</addsrcrecordid><sourcetype>Open Access Repository</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1700771058</pqid></control><display><type>article</type><title>Discrete Schur-constant models</title><source>Elsevier ScienceDirect Journals Complete</source><source>Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals</source><source>Recercat</source><creator>Castañer, A. ; Claramunt, M.M. ; Lefèvre, C. ; Loisel, S.</creator><creatorcontrib>Castañer, A. ; Claramunt, M.M. ; Lefèvre, C. ; Loisel, S.</creatorcontrib><description>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.</description><identifier>ISSN: 0047-259X</identifier><identifier>EISSN: 1095-7243</identifier><identifier>DOI: 10.1016/j.jmva.2015.06.003</identifier><identifier>CODEN: JMVAAI</identifier><language>eng</language><publisher>New York: Elsevier Inc</publisher><subject>Correlation analysis ; Economics and Finance ; Humanities and Social Sciences ; Insurance risk theory ; Mathematical models ; Mathematics ; Mixed multinomial distribution ; Models matemàtics ; Multiple monotonicity ; Probability ; Probability distribution ; Random variables ; Risc (Assegurances) ; Risc (Economia) ; Risk ; Risk (Insurance) ; Schur-constant property ; Studies ; Survival function</subject><ispartof>Journal of multivariate analysis, 2015-09, Vol.140 (September 2015), p.343-362</ispartof><rights>2015 Elsevier Inc.</rights><rights>Copyright Taylor & Francis Group Sep 2015</rights><rights>cc-by-nc-nd (c) Elsevier, 2015 info:eu-repo/semantics/embargoedAccess <a href="http://creativecommons.org/licenses/by-nc-nd/3.0/es">http://creativecommons.org/licenses/by-nc-nd/3.0/es</a></rights><rights>Distributed under a Creative Commons Attribution 4.0 International License</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c448t-191e96363e5452d780abf22859f4abea808cc476bfe20979e9393606637210c13</citedby><cites>FETCH-LOGICAL-c448t-191e96363e5452d780abf22859f4abea808cc476bfe20979e9393606637210c13</cites><orcidid>0000-0003-2265-8607 ; 0000-0003-2176-8775</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.jmva.2015.06.003$$EHTML$$P50$$Gelsevier$$Hfree_for_read</linktohtml><link.rule.ids>230,314,780,784,885,3550,26974,27924,27925,45995</link.rule.ids><backlink>$$Uhttps://hal.science/hal-01081756$$DView record in HAL$$Hfree_for_read</backlink></links><search><creatorcontrib>Castañer, A.</creatorcontrib><creatorcontrib>Claramunt, M.M.</creatorcontrib><creatorcontrib>Lefèvre, C.</creatorcontrib><creatorcontrib>Loisel, S.</creatorcontrib><title>Discrete Schur-constant models</title><title>Journal of multivariate analysis</title><description>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.</description><subject>Correlation analysis</subject><subject>Economics and Finance</subject><subject>Humanities and Social Sciences</subject><subject>Insurance risk theory</subject><subject>Mathematical models</subject><subject>Mathematics</subject><subject>Mixed multinomial distribution</subject><subject>Models matemàtics</subject><subject>Multiple monotonicity</subject><subject>Probability</subject><subject>Probability distribution</subject><subject>Random variables</subject><subject>Risc (Assegurances)</subject><subject>Risc (Economia)</subject><subject>Risk</subject><subject>Risk (Insurance)</subject><subject>Schur-constant property</subject><subject>Studies</subject><subject>Survival function</subject><issn>0047-259X</issn><issn>1095-7243</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2015</creationdate><recordtype>article</recordtype><sourceid>XX2</sourceid><recordid>eNp9kE1Lw0AQhhdRsFb_gAcpePKQOLPJ7mbBS6kfFQoeVPC2bDcTmtAmdTct-O9NTOnRwzLs8D7DzMPYNUKMgPK-iqvN3sYcUMQgY4DkhI0QtIgUT5NTNgJIVcSF_jpnFyFUAIhCpSN281gG56mlybtb7Xzkmjq0tm4nmyandbhkZ4VdB7o61DH7fH76mM2jxdvL62y6iFyaZm2EGknLRCYkUsFzlYFdFpxnQhepXZLNIHMuVXJZEAetNOlEJxKkTBRHcJiM2d0wd2XXZuvLjfU_prGlmU8Xpu8BQoZKyH2fxSHrws4ZT468s-1f-vjpHwfFDZeKC94xtwOz9c33jkJrqmbn6-4kgwpAKQSRdSl-mOybEDwVx1UQTO_ZVKb3bHrPBqTpPHfQwwB1umhfkjfBlVQ7ystundbkTfkf_gssBIIo</recordid><startdate>20150901</startdate><enddate>20150901</enddate><creator>Castañer, A.</creator><creator>Claramunt, M.M.</creator><creator>Lefèvre, C.</creator><creator>Loisel, S.</creator><general>Elsevier Inc</general><general>Taylor & Francis LLC</general><general>Elsevier</general><scope>6I.</scope><scope>AAFTH</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>JQ2</scope><scope>XX2</scope><scope>1XC</scope><scope>BXJBU</scope><scope>IHQJB</scope><scope>VOOES</scope><orcidid>https://orcid.org/0000-0003-2265-8607</orcidid><orcidid>https://orcid.org/0000-0003-2176-8775</orcidid></search><sort><creationdate>20150901</creationdate><title>Discrete Schur-constant models</title><author>Castañer, A. ; Claramunt, M.M. ; Lefèvre, C. ; Loisel, S.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c448t-191e96363e5452d780abf22859f4abea808cc476bfe20979e9393606637210c13</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2015</creationdate><topic>Correlation analysis</topic><topic>Economics and Finance</topic><topic>Humanities and Social Sciences</topic><topic>Insurance risk theory</topic><topic>Mathematical models</topic><topic>Mathematics</topic><topic>Mixed multinomial distribution</topic><topic>Models matemàtics</topic><topic>Multiple monotonicity</topic><topic>Probability</topic><topic>Probability distribution</topic><topic>Random variables</topic><topic>Risc (Assegurances)</topic><topic>Risc (Economia)</topic><topic>Risk</topic><topic>Risk (Insurance)</topic><topic>Schur-constant property</topic><topic>Studies</topic><topic>Survival function</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Castañer, A.</creatorcontrib><creatorcontrib>Claramunt, M.M.</creatorcontrib><creatorcontrib>Lefèvre, C.</creatorcontrib><creatorcontrib>Loisel, S.</creatorcontrib><collection>ScienceDirect Open Access Titles</collection><collection>Elsevier:ScienceDirect:Open Access</collection><collection>CrossRef</collection><collection>ProQuest Computer Science Collection</collection><collection>Recercat</collection><collection>Hyper Article en Ligne (HAL)</collection><collection>HAL-SHS: Archive ouverte en Sciences de l'Homme et de la Société</collection><collection>HAL-SHS: Archive ouverte en Sciences de l'Homme et de la Société (Open Access)</collection><collection>Hyper Article en Ligne (HAL) (Open Access)</collection><jtitle>Journal of multivariate analysis</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Castañer, A.</au><au>Claramunt, M.M.</au><au>Lefèvre, C.</au><au>Loisel, S.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Discrete Schur-constant models</atitle><jtitle>Journal of multivariate analysis</jtitle><date>2015-09-01</date><risdate>2015</risdate><volume>140</volume><issue>September 2015</issue><spage>343</spage><epage>362</epage><pages>343-362</pages><issn>0047-259X</issn><eissn>1095-7243</eissn><coden>JMVAAI</coden><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.</abstract><cop>New York</cop><pub>Elsevier Inc</pub><doi>10.1016/j.jmva.2015.06.003</doi><tpages>20</tpages><orcidid>https://orcid.org/0000-0003-2265-8607</orcidid><orcidid>https://orcid.org/0000-0003-2176-8775</orcidid><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0047-259X |
| ispartof | Journal of multivariate analysis, 2015-09, Vol.140 (September 2015), p.343-362 |
| issn | 0047-259X 1095-7243 |
| language | eng |
| recordid | cdi_hal_primary_oai_HAL_hal_01081756v1 |
| source | Elsevier ScienceDirect Journals Complete; Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals; Recercat |
| subjects | Correlation analysis Economics and Finance Humanities and Social Sciences Insurance risk theory Mathematical models Mathematics Mixed multinomial distribution Models matemàtics Multiple monotonicity Probability Probability distribution Random variables Risc (Assegurances) Risc (Economia) Risk Risk (Insurance) Schur-constant property Studies Survival function |
| title | Discrete Schur-constant models |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-04T11%3A49%3A03IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_hal_p&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Discrete%20Schur-constant%20models&rft.jtitle=Journal%20of%20multivariate%20analysis&rft.au=Casta%C3%B1er,%20A.&rft.date=2015-09-01&rft.volume=140&rft.issue=September%202015&rft.spage=343&rft.epage=362&rft.pages=343-362&rft.issn=0047-259X&rft.eissn=1095-7243&rft.coden=JMVAAI&rft_id=info:doi/10.1016/j.jmva.2015.06.003&rft_dat=%3Cproquest_hal_p%3E3766618331%3C/proquest_hal_p%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1700771058&rft_id=info:pmid/&rft_els_id=S0047259X15001463&rfr_iscdi=true |