Decomposition of a Schur-constant model and its applications

Yichun Chi; Jingping Yang; Yongcheng Qi

doi:10.1016/j.insmatheco.2008.11.010

Decomposition of a Schur-constant model and its applications

Yichun Chi, Jingping Yang, Yongcheng Qi

Mathematics & Statistics

Research output: Contribution to journal › Article › peer-review

16 Scopus citations

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.

Original language	English (US)
Pages (from-to)	398-408
Number of pages	11
Journal	Insurance: Mathematics and Economics
Volume	44
Issue number	3
DOIs	https://doi.org/10.1016/j.insmatheco.2008.11.010
State	Published - Jun 2009

Bibliographical note

Funding Information:
The authors thank a reviewer for his/her constructive suggestions which have lead to much improvement on the paper. Chi’s research was supported by China Scholarship Council, Yang’s research was supported by the National Basic Research Program (973 Program) of China (2007CB814905) and NSFC (10871008), and Qi’s research was supported by NSF grant DMS 0604176.

Keywords

Archimedean copula
Kendall's tau
Schur-constant model
Spearman's rho
Stochastic orders

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10.1016/j.insmatheco.2008.11.010

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title = "Decomposition of a Schur-constant model and its applications",

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 = "Archimedean copula, Kendall's tau, Schur-constant model, Spearman's rho, Stochastic orders",

author = "Yichun Chi and Jingping Yang and Yongcheng Qi",

note = "Funding Information: The authors thank a reviewer for his/her constructive suggestions which have lead to much improvement on the paper. Chi{\textquoteright}s research was supported by China Scholarship Council, Yang{\textquoteright}s research was supported by the National Basic Research Program (973 Program) of China (2007CB814905) and NSFC (10871008), and Qi{\textquoteright}s research was supported by NSF grant DMS 0604176. ",

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language = "English (US)",

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T1 - Decomposition of a Schur-constant model and its applications

AU - Chi, Yichun

AU - Yang, Jingping

AU - Qi, Yongcheng

N1 - Funding Information: The authors thank a reviewer for his/her constructive suggestions which have lead to much improvement on the paper. Chi’s research was supported by China Scholarship Council, Yang’s research was supported by the National Basic Research Program (973 Program) of China (2007CB814905) and NSFC (10871008), and Qi’s research was supported by NSF grant DMS 0604176.

PY - 2009/6

Y1 - 2009/6

N2 - 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.

AB - 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.

KW - Archimedean copula

KW - Kendall's tau

KW - Schur-constant model

KW - Spearman's rho

KW - Stochastic orders

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DO - 10.1016/j.insmatheco.2008.11.010

M3 - Article

AN - SCOPUS:65049087136

SN - 0167-6687

VL - 44

SP - 398

EP - 408

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 3

ER -

Decomposition of a Schur-constant model and its applications

Abstract

Bibliographical note

Keywords

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