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Bivariate Cox models and copulas

Author

Listed:
  • Mohamed Achibi
  • Michel Broniatowski
  • Catherine Duveau
  • Alice Marboeuf

Abstract

This paper introduces a new class of Cox models for dependent bivariate data. The impact of the covariate on the dependence of the variables is captured through the modification of their copula. Various classes of well-known copulas are stable under the model (Archimedean type and extreme value copulas), meaning that the role of the covariate acts in a simple and explicit way on the copula in the class; specific parametric classes are considered.

Suggested Citation

  • Mohamed Achibi & Michel Broniatowski & Catherine Duveau & Alice Marboeuf, 2012. "Bivariate Cox models and copulas," Journal of Risk and Reliability, , vol. 226(5), pages 476-487, October.
    • Handle: RePEc:sae:risrel:v:226:y:2012:i:5:p:476-487
    DOI: 10.1177/1748006X12455779
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    References listed on IDEAS

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    4. Genest, Christian & Rivest, Louis-Paul, 1989. "A characterization of gumbel's family of extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 8(3), pages 207-211, August.
    5. Christian Genest & Kilani Ghoudi & Louis-Paul Rivest, 1998. "“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(3), pages 143-149.
    6. Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
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