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Archimedean copulæ and positive dependence

Citations

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Cited by:

  1. Taizhong Hu & Alfred Müller & Marco Scarsini, 2002. "Some Counterexamples in Positive Dependence," ICER Working Papers - Applied Mathematics Series 28-2003, ICER - International Centre for Economic Research, revised Jul 2003.
  2. Denuit, Michel M. & Mesfioui, Mhamed, 2011. "The dispersive effect of cross-aging with archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1407-1418, September.
  3. Mesfioui, Mhamed & Quessy, Jean-François, 2008. "Dependence structure of conditional Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 372-385, March.
  4. Escudero, Laureano F. & Ortega, Eva-María, 2008. "Actuarial comparisons for aggregate claims with randomly right-truncated claims," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 255-262, October.
  5. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. II," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 23(3), pages 98-132.
  6. Benjamin V. Rosa, 2019. "Resident Bid Preference, Affiliation, and Procurement Competition: Evidence from New Mexico," Journal of Industrial Economics, Wiley Blackwell, vol. 67(2), pages 161-208, June.
  7. Antonio Lijoi & Igor Prünster & Stephen G. Walker, 2004. "On consistency of nonparametric normal mixtures for Bayesian density estimation," ICER Working Papers - Applied Mathematics Series 23-2004, ICER - International Centre for Economic Research.
  8. Arriaza, Antonio & Navarro, Jorge & Ortega-Jiménez, Patricia, 2024. "Risk times in mission-oriented systems," LIDAM Discussion Papers ISBA 2024017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  9. Ansari Jonathan & Rüschendorf Ludger, 2021. "Sklar’s theorem, copula products, and ordering results in factor models," Dependence Modeling, De Gruyter, vol. 9(1), pages 267-306, January.
  10. Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.
  11. Rezapour, Mohsen & Alamatsaz, Mohammad Hossein, 2014. "Stochastic comparison of lifetimes of two (n−k+1)-out-of-n systems with heterogeneous dependent components," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 240-251.
  12. Nappo Giovanna & Spizzichino Fabio, 2020. "Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property," Dependence Modeling, De Gruyter, vol. 8(1), pages 1-33, January.
  13. Antonio Lijoi & Igor Prünster & Stephen G. Walker, 2004. "On rates of convergence for posterior distributions in infinite–dimensional models," ICER Working Papers - Applied Mathematics Series 24-2004, ICER - International Centre for Economic Research.
  14. Hubbard, Timothy P. & Li, Tong & Paarsch, Harry J., 2012. "Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation," Journal of Econometrics, Elsevier, vol. 168(1), pages 4-16.
  15. Lee, Woojoo & Ahn, Jae Youn, 2014. "On the multidimensional extension of countermonotonicity and its applications," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 68-79.
  16. Cai, Jun & Wei, Wei, 2015. "Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 156-169.
  17. Li, Chen & Li, Xiaohu, 2015. "Likelihood ratio order of sample minimum from heterogeneous Weibull random variables," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 46-53.
  18. Longobardi, Maria & Pellerey, Franco, 2019. "On the role of dependence in residual lifetimes," Statistics & Probability Letters, Elsevier, vol. 153(C), pages 56-64.
  19. Steffen Nico & Dickhaus Thorsten, 2020. "Optimizing effective numbers of tests by vine copula modeling," Dependence Modeling, De Gruyter, vol. 8(1), pages 172-185, January.
  20. Cai, Jun & Wei, Wei, 2012. "On the invariant properties of notions of positive dependence and copulas under increasing transformations," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 43-49.
  21. Jorge Navarro & Rafael Rubio, 2011. "A note on necessary and sufficient conditions for ordering properties of coherent systems with exchangeable components," Naval Research Logistics (NRL), John Wiley & Sons, vol. 58(5), pages 478-489, August.
  22. Tong Li & Bingyu Zhang, 2015. "Affiliation and Entry in First-Price Auctions with Heterogeneous Bidders: An Analysis of Merger Effects," American Economic Journal: Microeconomics, American Economic Association, vol. 7(2), pages 188-214, May.
  23. Navarro, Jorge & Pellerey, Franco & Di Crescenzo, Antonio, 2015. "Orderings of coherent systems with randomized dependent components," European Journal of Operational Research, Elsevier, vol. 240(1), pages 127-139.
  24. Sordo, Miguel A. & Suárez-Llorens, Alfonso & Bello, Alfonso J., 2015. "Comparison of conditional distributions in portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 62-69.
  25. Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2012. "A copula-based analysis of false discovery rate control under dependence assumptions," Economics & Statistics Discussion Papers esdp12065, University of Molise, Department of Economics.
  26. Beggs Alan W., 2013. "Dependence and Uniqueness in Bayesian Games," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 13(1), pages 1-25, May.
  27. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
  28. Antonio Lijoi & Igor Prünster & Stephen G. Walker, 2004. "Contributions to the understanding of Bayesian consistency," ICER Working Papers - Applied Mathematics Series 13-2004, ICER - International Centre for Economic Research.
  29. Fuchs, Sebastian & Tschimpke, Marco, 2024. "A novel positive dependence property and its impact on a popular class of concordance measures," Journal of Multivariate Analysis, Elsevier, vol. 200(C).
  30. Nappo Giovanna & Spizzichino Fabio, 2020. "Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property," Dependence Modeling, De Gruyter, vol. 8(1), pages 1-33, January.
  31. Włodzimierz Wysocki, 2015. "Kendall's tau and Spearman's rho for n -dimensional Archimedean copulas and their asymptotic properties," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 27(4), pages 442-459, December.
  32. Cerqueti, Roy & Lupi, Claudio, 2015. "Total positivity for a class of non-exchangeable copulas," Economics & Statistics Discussion Papers esdp15077, University of Molise, Department of Economics.
  33. Millossovich, Pietro & Tsanakas, Andreas & Wang, Ruodu, 2024. "A theory of multivariate stress testing," European Journal of Operational Research, Elsevier, vol. 318(3), pages 851-866.
  34. Laureano Escudero & Eva-María Ortega, 2009. "How retention levels influence the variability of the total risk under reinsurance," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(1), pages 139-157, July.
  35. Steffen Nico & Dickhaus Thorsten, 2020. "Optimizing effective numbers of tests by vine copula modeling," Dependence Modeling, De Gruyter, vol. 8(1), pages 172-185, January.
  36. Rüschendorf Ludger & Witting Julian, 2017. "VaR bounds in models with partial dependence information on subgroups," Dependence Modeling, De Gruyter, vol. 5(1), pages 59-74, January.
  37. Harry Joe, 2018. "Dependence Properties of Conditional Distributions of some Copula Models," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 975-1001, September.
  38. Charpentier, Arthur & Segers, Johan, 2007. "Lower tail dependence for Archimedean copulas: Characterizations and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 525-532, May.
  39. Jorge Navarro & Julio Mulero, 2020. "Comparisons of coherent systems under the time-transformed exponential model," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 255-281, March.
  40. Ortega-Jiménez, P. & Sordo, M.A. & Suárez-Llorens, A., 2021. "Stochastic orders and multivariate measures of risk contagion," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 199-207.
  41. Mulero, Julio & Pellerey, Franco & Rodríguez-Griñolo, Rosario, 2010. "Stochastic comparisons for time transformed exponential models," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 328-333, April.
  42. André Neumann & Thorsten Dickhaus, 2020. "Nonparametric Archimedean generator estimation with implications for multiple testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(2), pages 309-323, June.
  43. Sordo, Miguel A., 2016. "A multivariate extension of the increasing convex order to compare risks," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 224-230.
  44. Cerqueti, Roy & Lupi, Claudio, 2014. "A new family of nonexchangeable copulas for positive dependence," Economics & Statistics Discussion Papers esdp14075, University of Molise, Department of Economics.
  45. Limin Wen & Junxue Li & Tong Pu & Yiying Zhang, 2024. "Comparisons of multivariate contribution measures of risk contagion and their applications in cryptocurrency market," Papers 2411.13384, arXiv.org.
  46. Li, Chen & Li, Xiaohu, 2021. "On stochastic dependence in residual lifetime and inactivity time with some applications," Statistics & Probability Letters, Elsevier, vol. 177(C).
  47. Christian Genest & Johanna Nešlehová & Johanna Ziegel, 2011. "Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 223-256, August.
  48. Stöber, Jakob & Joe, Harry & Czado, Claudia, 2013. "Simplified pair copula constructions—Limitations and extensions," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 101-118.
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