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
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
Journal title :
Insurance Mathematics and Economics
