Title of article
Decomposition of a Schur-constant model and its applications
Author/Authors
Chi، نويسنده , , Yichun and Yang، نويسنده , , Jingping and Qi، نويسنده , , Yongcheng، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
11
From page
398
To page
408
Abstract
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.
Keywords
Kendall’s tau , Spearman’s rho , Schur-constant model , Stochastic orders , Archimedean copula
Journal title
Insurance Mathematics and Economics
Serial Year
2009
Journal title
Insurance Mathematics and Economics
Record number
1543761
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