We consider non-negative conditionally independent and identically distributed random variables and analyze conditions for monotonicity of survival copulas of residual lifetimes. Concentrating attention on the bivariate copula, we compare its behavior at the instant of default with its evolution between two defaults. The assumptions for our results will be expressed in terms of conditional hazard rates.
Dynamics of Dependence Properties for Lifetimes Influenced by Unobservable Environmental Factors / Rachele, Foschi; Spizzichino, Fabio. - STAMPA. - (2010), pp. 101-112. ((Intervento presentato al convegno 6th International Conference on Mathematical Methods in Reliability - Theory, Methods, Applications tenutosi a Moscow, RUSSIA nel JUN 22-26, 2009. [10.1007/978-0-8176-4971-5_7].
Dynamics of Dependence Properties for Lifetimes Influenced by Unobservable Environmental Factors
SPIZZICHINO, Fabio
2010
Abstract
We consider non-negative conditionally independent and identically distributed random variables and analyze conditions for monotonicity of survival copulas of residual lifetimes. Concentrating attention on the bivariate copula, we compare its behavior at the instant of default with its evolution between two defaults. The assumptions for our results will be expressed in terms of conditional hazard rates.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
