Dynamic dependence ordering for Archimedean copulas and distorted copulas

Arthur Charpentier (1)

1 CREM - Centre de recherche en économie et management

This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i.e. given remaining lifetimes , to compare the dependence of given >t, and given >s, where s>t. More precisely, analytical results will be obtained in the case the survival copula of is either Archimedean or a distorted copula. The case of a frailty based model will also be discussed in details.

Mots clés: Archimedean copulas; Cox model; dependence; distorted copulas; ordering AMS subject

Domaines: Economies et finances

Arthur Charpentier. Dynamic dependence ordering for Archimedean copulas and distorted copulas. Kybernetika, 2008, 44 (6), pp.777-794. ⟨halshs-00480886⟩