In some recent papers, the authors considered a function B that describes the level curves of an exchangeable bivariate survival function F. The function B permits the analysis of several "multivariate aging properties" of F. In this paper, the authors consider survival models characterized by the condition that B is a Clayton copula and analyze a related invariance property. This property concerns the family of level curves of the joint survival function of residual lifetimes, when "ages" are increasing. (c) 2005 Elsevier B.V. All rights reserved.
Bivariate survival models with Clayton aging functions / Bruno, Bassan; Spizzichino, Fabio. - In: INSURANCE MATHEMATICS & ECONOMICS. - ISSN 0167-6687. - STAMPA. - 37:1 SPEC. ISS.(2005), pp. 6-12. (Intervento presentato al convegno International Conference on Dependence Modelling - Statistical Theory and Applications in Finance and Insurance (DeMoSTAFI) tenutosi a Quebec City, CANADA nel MAY 20-22, 2004) [10.1016/j.insmatheco.2004.12.003].
Bivariate survival models with Clayton aging functions
SPIZZICHINO, Fabio
2005
Abstract
In some recent papers, the authors considered a function B that describes the level curves of an exchangeable bivariate survival function F. The function B permits the analysis of several "multivariate aging properties" of F. In this paper, the authors consider survival models characterized by the condition that B is a Clayton copula and analyze a related invariance property. This property concerns the family of level curves of the joint survival function of residual lifetimes, when "ages" are increasing. (c) 2005 Elsevier B.V. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
