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Archimedean copulæ and positive dependence

Citations

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Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. Limin Wen & Junxue Li & Tong Pu & Yiying Zhang, 2024. "On multivariate contribution measures of systemic risk with applications in cryptocurrency market," Papers 2411.13384, arXiv.org, revised Mar 2025.
  15. 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.
  16. 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.
  17. Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
  23. 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.
  24. 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.
  25. 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.
  26. Li, Chen & Li, Xiaohu, 2021. "On stochastic dependence in residual lifetime and inactivity time with some applications," Statistics & Probability Letters, Elsevier, vol. 177(C).
  27. 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.
  28. Mesfioui, Mhamed & Quessy, Jean-François, 2008. "Dependence structure of conditional Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 372-385, March.
  29. 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).
  30. 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.
  31. 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).
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. Longobardi, Maria & Pellerey, Franco, 2019. "On the role of dependence in residual lifetimes," Statistics & Probability Letters, Elsevier, vol. 153(C), pages 56-64.
  45. 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.
  46. 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.
  47. 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.
  48. 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.
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