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Stochastic comparisons for time transformed exponential models

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Listed author(s):
  • Mulero, Julio
  • Pellerey, Franco
  • Rodríguez-Griñolo, Rosario
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    Abstract

    Different sufficient conditions for stochastic comparisons between random vectors have been described in the literature. In particular, conditions for the comparison of random vectors having the same copula, i.e., the same dependence structure, may be found in Müller and Scarsini (2001). Here we provide conditions for the comparison, in the usual stochastic order sense and in other weaker stochastic orders, of two time transformed exponential bivariate lifetimes having different copulas. Some examples of applications are provided too.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(09)00150-4
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 46 (2010)
    Issue (Month): 2 (April)
    Pages: 328-333

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    Handle: RePEc:eee:insuma:v:46:y:2010:i:2:p:328-333
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

    Keywords: Multivariate stochastic orders Positive dependence orders Bivariate lifetimes Survival copulas Archimedean copulas TTE models;

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    1. Nelsen, Roger B., 1997. "Dependence and Order in Families of Archimedean Copulas," Journal of Multivariate Analysis, Elsevier, vol. 60(1), pages 111-122, January.
    2. Bassan, Bruno & Spizzichino, Fabio, 2005. "Bivariate survival models with Clayton aging functions," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 6-12, August.
    3. Müller, Alfred & Scarsini, Marco, 2005. "Archimedean copulæ and positive dependence," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 434-445, April.
    4. An, Mark Yuying, 1998. "Logconcavity versus Logconvexity: A Complete Characterization," Journal of Economic Theory, Elsevier, vol. 80(2), pages 350-369, June.
    5. Pellerey, Franco, 2000. "Random vectors with HNBUE-type marginal distributions," Statistics & Probability Letters, Elsevier, vol. 50(3), pages 265-271, November.
    6. Bassan, Bruno & Spizzichino, Fabio, 2005. "Relations among univariate aging, bivariate aging and dependence for exchangeable lifetimes," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 313-339, April.
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    Cited by:

    1. Li, Xiaohu & Lin, Jianhua, 2011. "Stochastic orders in time transformed exponential models with applications," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 47-52, July.

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