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H 1 Discrete Schur-constant models in inssurance

Auteurs : Lefèvre, Claude (Auteur de la Conférence)
CIRM (Editeur )

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    Résumé : 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.
    This is a joint work with A. Castaner, M.M. Claramunt and S. Loisel.

    Keywords: Schur-constant property; survival function; multiple monotonicity; mixed multinomial distribution; insurance risk theory

    Codes MSC :
    60E05 - Distributions: general theory
    91B30 - Risk theory, insurance

      Informations sur la Vidéo

      Langue : Anglais
      Date de publication : 08/03/16
      Date de captation : 25/02/16
      Collection : Research talks ; Probability and Statistics
      Format : MP4
      Durée : 00:29:54
      Domaine : Probability & Statistics
      Audience : Chercheurs ; Doctorants , Post - Doctorants
      Download : https://videos.cirm-math.fr/2016-02-25_Lefevre.mp4

    Informations sur la rencontre

    Nom de la rencontre : Thematic month on statistics - Week 4: Extremes, copulas and actuarial science / Mois thématique sur les statistiques - Semaine 4 : Extrêmes, copules et actuariat
    Organisateurs de la rencontre : Boutahar, Mohamed ; Pommeret, Denys ; Royer-Carenzi, Manuela
    Dates : 22/02/16 - 26/02/16
    Année de la rencontre : 2016
    URL Congrès : http://conferences.cirm-math.fr/1618.html

    Citation Data

    DOI : 10.24350/CIRM.V.18934403
    Cite this video as: Lefèvre, Claude (2016). Discrete Schur-constant models in inssurance. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.18934403
    URI : http://dx.doi.org/10.24350/CIRM.V.18934403


    Voir aussi

    Bibliographie

    1. Castañer, A., Claramunt, M.M., Lefèvre, C., & Loisel, S. (2015). Discrete Schur-constant models. Journal of Multivariate Analysis, 140, 343-362 - http://dx.doi.org/10.1016/j.jmva.2015.06.003

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