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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 & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
    5. Olivier Scaillet, 2005. "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series rp128, International Center for Financial Asset Management and Engineering.
    6. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
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