A sufficient condition of crossing type for the bivariate orthant convex order

Michel Denuit and Mhamed Mesfioui

Statistics & Probability Letters, 2013, vol. 83, issue 1, 157-162

Abstract: In this work, we derive a sufficient condition for the orthant convex order based on the single crossing of the respective joint survival functions. This condition is expressed in terms of the generators for Archimedean copulas. Numerical examples show that this condition is valid for members of standard copula families (including the Clayton and Frank ones).

Keywords: Copula; Dependence; Stochastic order (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2012.07.014

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