Lifetime dependence models generated by multiply monotone functions

DOI10.1080/03461238.2017.1405840MaRDI QIDQ4583623zbMATH OpenOpenAlexFDO

Authors Daniel H. Alai, Zinoviy Landsman

Publication date 31 August 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://kar.kent.ac.uk/64924/1/Alai%20and%20Landsman%20%282017%29%20Lifetime%20Dependence%20Models%20Generated%20by%20Multiply%20Monotone%20Functions.pdf

zbMATH Keywords

Archimedean survival copulasmultiply monotone functionsmultivariate truncationPareto distributionWeibull distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Reliability and life testing (62N05)

Recommendations

• Multivariate lifetime distributions for the exponential dispersion family
• Multivariate extensions of univariate life distributions
• scientific article; zbMATH DE number 3992730
• Multivariate survival distributions
• On a multivariate Pareto distribution

Cites work

• A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An introduction to copulas. Properties and applications
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 6458325 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Modelling lifetime dependence for older ages using a multivariate Pareto distribution
• Multiply monotone functions and their Laplace transforms
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Multivariate Pareto Distributions
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• On a multivariate Pareto distribution
• Sample quantiles and additive statistics: Information, sufficiency, estimation
• Some properties of Schur-constant survival models and their copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
• Understanding Relationships Using Copulas

Cited in

(1)

• Multivariate lifetime distributions for the exponential dispersion family

Describes a project that uses

Uses Software

• QRM

This page was built for publication: Lifetime dependence models generated by multiply monotone functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4583623)