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A sufficient condition of crossing type for the bivariate orthant convex order

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  • Denuit, Michel
  • Mesfioui, Mhamed

Abstract

In this work, we derive a sufficient condition for the orthant convex order based on the single crossing of the respective joint survival functions. This condition is expressed in terms of the generators for Archimedean copulas. Numerical examples show that this condition is valid for members of standard copula families (including the Clayton and Frank ones).

Suggested Citation

  • Denuit, Michel & Mesfioui, Mhamed, 2013. "A sufficient condition of crossing type for the bivariate orthant convex order," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 157-162.
  • Handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:157-162
    DOI: 10.1016/j.spl.2012.07.014
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    References listed on IDEAS

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    1. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    2. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
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    1. repec:spr:testjl:v:26:y:2017:i:3:d:10.1007_s11749-017-0527-5 is not listed on IDEAS

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    Keywords

    Copula; Dependence; Stochastic order;

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