Decomposition of a Schur-constant model and its applications

DOI10.1016/J.INSMATHECO.2008.11.010zbMath1181.62092OpenAlexW2150524490MaRDI QIDQ1023101

Yichun Chi, Yongcheng Qi, Jing-Ping Yang

Publication date: 10 June 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.11.010

zbMATH Keywords

stochastic orderKendall's tauArchimedean copulaSpearman's rho

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Survival analysis and censored data (62N99)

Related Items (13)

Markov property in discrete Schur-constant models ⋮ RISK MODELS IN INSURANCE AND EPIDEMICS: A BRIDGE THROUGH RANDOMIZED POLYNOMIALS ⋮ Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities ⋮ Characterizations and time-dependent association measures for bivariate Schur-constant distributions ⋮ Discrete Schur-constant models ⋮ Schur-constant and related dependence models, with application to ruin probabilities ⋮ Some properties of bivariate Schur-constant distributions ⋮ Partially Schur-constant models ⋮ Equilibrium distributions and discrete Schur-constant models ⋮ On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment ⋮ On partially Schur-constant models and their associated copulas ⋮ STOCHASTIC ORDERING OF A CLASS OF SYMMETRIC DISTRIBUTIONS ⋮ A law of uniform seniority for dependent lives

Cites Work

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• Some properties of Schur-constant survival models and their copulas
• An introduction to copulas.
• Class L of multivariate distributions and its subclasses
• WBF property and stochastical monotonicity of the Markov process associated to Schur-constant survival functions
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Multivariate Pareto Distributions
• De Finetti-type Representations for Life Distributions
• New characterizations of the no-aging property and the ℓ₁-isotropic model
• Moments of compound renewal sums with discounted claims

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