Foschi, Rachele and Spizzichino, Fabio Dynamics of Dependence Properties for Lifetimes Influenced by Unobservable Environmental Factors. In: Mathematical and Statistical Models and Methods in Reliability. Springer, New York, pp. 101-112. ISBN 978-0-8176-4970-8 (2010)
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Official URL: http://dx.doi.org/10.1007/978-0-8176-4971-5_7
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.
| Item Type: | Book Section |
|---|---|
| Identification Number: | https://doi.org/10.1007/978-0-8176-4971-5_7 |
| Uncontrolled Keywords: | Survival Copulas of residual lifetimes - Default contagion - Multivariate stochastic orders - Longitudinal observations - Posterior distributions |
| Subjects: | H Social Sciences > HA Statistics Q Science > QA Mathematics |
| Research Area: | Economics and Institutional Change |
| Depositing User: | Users 19 not found. |
| Date Deposited: | 06 Jul 2011 10:42 |
| Last Modified: | 11 Jul 2011 14:37 |
| URI: | http://eprints.imtlucca.it/id/eprint/711 |
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