Stochastic comparisons for time transformed exponential models

Julio Mulero, Franco Pellerey and Rosario Rodríguez-Griñolo

Insurance: Mathematics and Economics, 2010, vol. 46, issue 2, 328-333

Abstract: Different sufficient conditions for stochastic comparisons between random vectors have been described in the literature. In particular, conditions for the comparison of random vectors having the same copula, i.e., the same dependence structure, may be found in Müller and Scarsini (2001). Here we provide conditions for the comparison, in the usual stochastic order sense and in other weaker stochastic orders, of two time transformed exponential bivariate lifetimes having different copulas. Some examples of applications are provided too.

Keywords: Multivariate; stochastic; orders; Positive; dependence; orders; Bivariate; lifetimes; Survival; copulas; Archimedean; copulas; TTE; models (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:46:y:2010:i:2:p:328-333

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