Decomposition of a Schur-constant model and its applications
In this paper, the dependence structure of a Schur-constant model is investigated. A necessary and sufficient condition for a random vector to be Schur-constant is given, and some properties of the Schur-constant model are presented as well. Several applications of the Schur-constant model in insurance and finance are discussed.
Year of publication: |
2009
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Authors: | Chi, Yichun ; Yang, Jingping ; Qi, Yongcheng |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 44.2009, 3, p. 398-408
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Publisher: |
Elsevier |
Keywords: | Schur-constant model Stochastic orders Archimedean copula Kendall's tau Spearman's rho |
Saved in:
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