Kendall distributions and level sets in bivariate exchangeable survival models

DOI10.1016/j.ins.2009.02.007zbMath1171.62008OpenAlexW2151014699MaRDI QIDQ730892

Giovanna Nappo, Fabio L. Spizzichino

Publication date: 1 October 2009

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2009.02.007

zbMATH Keywords

Archimedean copulassemi-copulassurvival copulasassociative copulasbivariate aging functionsbivariate VaR-curves

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10) Survival analysis and censored data (62N99)

Related Items (17)

A bivariate extension of three-parameter generalized crack distribution for loss severity modelling ⋮ Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property ⋮ On multivariate extensions of value-at-risk ⋮ A generalization of Archimedean and Marshall-Olkin copulas family ⋮ A directional multivariate value at risk ⋮ Estimation of extreme quantiles conditioning on multivariate critical layers ⋮ Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory ⋮ On the estimation of Pareto fronts from the point of view of copula theory ⋮ Estimation of multivariate conditional-tail-expectation using Kendall's process ⋮ Distorted Copulas: Constructions and Tail Dependence ⋮ Semi-copulas, capacities and families of level sets ⋮ On multivariate extensions of conditional-tail-expectation ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ A concept of duality for multivariate exchangeable survival models ⋮ On a class of transformations of copulas and quasi-copulas ⋮ On multivariate extensions of the conditional value-at-risk measure ⋮ Estimating covariate functions associated to multivariate risks: a level set approach

Cites Work

• Unnamed Item
• Unnamed Item
• Some properties of Schur-constant survival models and their copulas
• Kendall distribution functions and associative copulas
• Stochastic orders
• On a class of transformations of copulas and quasi-copulas
• An introduction to copulas. Properties and applications
• Kendall distribution functions.
• Triangular norms
• Relations among univariate aging, bivariate aging and dependence for exchangeable lifetimes
• On a new notion of multidimensional quantile
• Semi-copulas, capacities and families of level sets
• Bounds for functions of multivariate risks
• Bivariate survival models with Clayton aging functions
• INTEGRATION WITH RESPECT TO DECOMPOSABLE MEASURES, BASED ON A CONDITIONALLY DISTRIBUTIVE SEMIRING ON THE UNIT INTERVAL
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Distorted Copulas: Constructions and Tail Dependence
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Inequalities: theory of majorization and its applications
• On the multivariate probability integral transformation

This page was built for publication: Kendall distributions and level sets in bivariate exchangeable survival models