Dynamic dependence ordering for Archimedean copulas and distorted copulas

Arthur Charpentier

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Abstract: This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i.e. given remaining lifetimes , to compare the dependence of given >t, and given >s, where s>t. More precisely, analytical results will be obtained in the case the survival copula of is either Archimedean or a distorted copula. The case of a frailty based model will also be discussed in details.

Keywords: Archimedean copulas; Cox model; dependence; distorted copulas; ordering AMS subject (search for similar items in EconPapers)
Date: 2008
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Published in Kybernetika, 2008, 44 (6), pp.777-794

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Working Paper: Dynamic dependence ordering for Archimedean copulas and distorted copulas (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00480886

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