The dispersive effect of cross-aging with archimedean copulas

Michel M. Denuit and Mhamed Mesfioui

Statistics & Probability Letters, 2011, vol. 81, issue 9, 1407-1418

Abstract: In this work, we compare conditional distributions derived from bivariate archimedean copulas in terms of their respective variabilities using the dispersive stochastic order. Specifically, we fix the underlying copula and we consider the effect of increasing the second component on the variability of the conditional distribution of the first component. Characterizations are provided in terms of the generator and of the marginal distributions. Several examples involving standard parametric copulas such as Clayton and Frank ones are discussed.

Keywords: Copula; Dependence; Dispersive; order (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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