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Schur-Constant and Related Dependence Models, with Application to Ruin Probabilities

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  • Claude Lefèvre

    (Université Libre de Bruxelles)

  • Matthieu Simon

    (University of Melbourne)

Abstract

This paper relates to Schur-constant vectors in their usual continuous version. Our first goal is to highlight the existing links with L1 symmetric Dirichlet vectors and Archimedean copulas. This leads us to briefly review the main properties of these three dependency models. Several special cases, mostly classical, are also examined in this context. Next, a discrete time risk model is considered in which the successive claims amounts constitute a Schur-constant vector. A simple compact formula is obtained for the corresponding probabilities of ruin. Its application is illustrated by some numerical examples.

Suggested Citation

  • Claude Lefèvre & Matthieu Simon, 2021. "Schur-Constant and Related Dependence Models, with Application to Ruin Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 317-339, March.
    • Handle: RePEc:spr:metcap:v:23:y:2021:i:1:d:10.1007_s11009-019-09744-2
    DOI: 10.1007/s11009-019-09744-2
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    References listed on IDEAS

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    1. Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011. "Explicit ruin formulas for models with dependence among risks," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 265-270, March.
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    4. Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015. "Discrete Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 343-362.
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    8. Stéphane Loisel, 2011. "Explicit ruin probabilities with dependent risks," Post-Print hal-00671923, HAL.
    9. Jones, M.C. & Marchand, Éric, 2019. "Multivariate discrete distributions via sums and shares," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 83-93.
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    11. Claude Lefèvre & Stéphane Loisel & Sergey Utev, 2018. "Markov Property in Discrete Schur-constant Models," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 1003-1012, September.
    12. Castañer, Anna & Claramunt, M. Mercè & Lefèvre, Claude & Loisel, Stéphane, 2019. "Partially Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 172(C), pages 47-58.
    13. Constantinescu, Corina & Hashorva, Enkelejd & Ji, Lanpeng, 2011. "Archimedean copulas in finite and infinite dimensions—with application to ruin problems," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 487-495.
    14. Ta, Bao Quoc & Van, Chung Pham, 2017. "Some properties of bivariate Schur-constant distributions," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 69-76.
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    Cited by:

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