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Archimedean Copulae and Positive Dependence

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  • Alfred Müller

    ()

  • Marco Scarsini

    ()

Abstract

In the first part of the paper we consider positive dependence properties of Archimedean copulae. Especially we characterize the Archimedean copulae that are multivariate totally positive of order 2 (MTP2) and conditionally increasing in sequence. In the second part we investigate conditions for binary sequences to admit an Archimedean copula.

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File URL: http://www.icer.it/docs/wp2003/Scarsini25-03.pdf
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Bibliographic Info

Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 25-2003.

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Length: 16 pages
Date of creation: Jun 2003
Date of revision:
Handle: RePEc:icr:wpmath:25-2003

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Keywords: Conditionally increasing; MTP2; positive lower orthant dependent; exchangeability; binary sequences.;

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References

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Citations

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Cited by:
  1. Lee, Woojoo & Ahn, Jae Youn, 2014. "On the multidimensional extension of countermonotonicity and its applications," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 68-79.
  2. Antonio Lijoi & Igor Prünster & Stephen G. Walker, 2004. "Contributions to the understanding of Bayesian consistency," ICER Working Papers - Applied Mathematics Series 13-2004, ICER - International Centre for Economic Research.
  3. Antonio Lijoi & Igor Prünster & Stephen G. Walker, 2004. "On consistency of nonparametric normal mixtures for Bayesian density estimation," ICER Working Papers - Applied Mathematics Series 23-2004, ICER - International Centre for Economic Research.
  4. Antonio Lijoi & Igor Prünster & Stephen G. Walker, 2004. "On rates of convergence for posterior distributions in infinite–dimensional models," ICER Working Papers - Applied Mathematics Series 24-2004, ICER - International Centre for Economic Research.
  5. Cai, Jun & Wei, Wei, 2012. "On the invariant properties of notions of positive dependence and copulas under increasing transformations," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 43-49.
  6. Alan Beggs, 2012. "Dependence and Uniqueness in Bayesian Games," Economics Series Working Papers 603, University of Oxford, Department of Economics.
  7. Mulero, Julio & Pellerey, Franco & Rodríguez-Griñolo, Rosario, 2010. "Stochastic comparisons for time transformed exponential models," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 328-333, April.
  8. Laureano Escudero & Eva-María Ortega, 2009. "How retention levels influence the variability of the total risk under reinsurance," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(1), pages 139-157, July.
  9. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
  10. Hubbard, Timothy P. & Li, Tong & Paarsch, Harry J., 2012. "Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation," Journal of Econometrics, Elsevier, vol. 168(1), pages 4-16.
  11. Taizhong Hu & Alfred Müller & Marco Scarsini, 2002. "Some Counterexamples in Positive Dependence," ICER Working Papers - Applied Mathematics Series 28-2003, ICER - International Centre for Economic Research, revised Jul 2003.
  12. Christian Genest & Johanna Nešlehová & Johanna Ziegel, 2011. "Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 20(2), pages 223-256, August.
  13. 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.
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  15. Mesfioui, Mhamed & Quessy, Jean-François, 2008. "Dependence structure of conditional Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 372-385, March.
  16. Escudero, Laureano F. & Ortega, Eva-María, 2008. "Actuarial comparisons for aggregate claims with randomly right-truncated claims," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 255-262, October.
  17. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 22(2), pages 98-134.
  18. Stöber, Jakob & Joe, Harry & Czado, Claudia, 2013. "Simplified pair copula constructions—Limitations and extensions," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 101-118.
  19. Charpentier, Arthur & Segers, Johan, 2007. "Lower tail dependence for Archimedean copulas: Characterizations and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 525-532, May.
  20. Charpentier, A. & Segers, J.J.J., 2006. "Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls," Discussion Paper 2006-29, Tilburg University, Center for Economic Research.

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