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.
2010
Mathematical and Statistical Models and Methods in Reliability
9780817649708
9780817649715
longitudinal observations; survival copulas of residual lifetimes; multivariate stochastic orders; survival copulas; residual lifetimes; default contagion; posterior distributions; conditional hazard rates
02 Pubblicazione su volume::02a Capitolo o Articolo
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].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/376609
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