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The dispersive effect of cross-aging with archimedean copulas

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  • Denuit, Michel M.
  • Mesfioui, Mhamed

Abstract

In this work, we compare conditional distributions derived from bivariate archimedean copulas in terms of their respective variabilities using the dispersive stochastic order. Specifically, we fix the underlying copula and we consider the effect of increasing the second component on the variability of the conditional distribution of the first component. Characterizations are provided in terms of the generator and of the marginal distributions. Several examples involving standard parametric copulas such as Clayton and Frank ones are discussed.

Suggested Citation

  • Denuit, Michel M. & Mesfioui, Mhamed, 2011. "The dispersive effect of cross-aging with archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1407-1418, September.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:9:p:1407-1418
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    References listed on IDEAS

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    1. Jongwoo Jeon & Subhash Kochar & Chul Park, 2006. "Dispersive ordering—Some applications and examples," Statistical Papers, Springer, vol. 47(2), pages 227-247, March.
    2. Müller, Alfred & Scarsini, Marco, 2005. "Archimedean copulæ and positive dependence," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 434-445, April.
    3. Belzunce, F. & Candel, J. & Ruiz, J. M., 1996. "Dispersive orderings and characterization of ageing classes," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 321-327, August.
    4. Pellerey, Franco & Shaked, Moshe, 1997. "Characterizations of the IFR and DFR aging notions by means of the dispersive order," Statistics & Probability Letters, Elsevier, vol. 33(4), pages 389-393, May.
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    Cited by:

    1. Montes, Ignacio & Salamanca, Juan Jesús & Montes, Susana, 2020. "A modified version of stochastic dominance involving dependence," Statistics & Probability Letters, Elsevier, vol. 165(C).

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    Keywords

    Copula Dependence Dispersive order;

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