Stochastic comparisons for time transformed exponential models

DOI10.1016/J.INSMATHECO.2009.11.006MaRDI QIDQ659231zbMATH OpenOpenAlexFDO

Authors Julio Mulero, Franco Pellerey, Rosario Rodríguez-Griñolo

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://porto.polito.it/2289436/

zbMATH Keywords

Archimedean copulasmultivariate stochastic orderspositive dependence orderssurvival copulasbivariate lifetimesTTE models

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• An introduction to copulas. Properties and applications
• Archimedean copulae and positive dependence
• Bivariate Survival Models Induced by Frailties
• Bivariate aging properties under Archimedean dependence structures
• Bivariate survival models with Clayton aging functions
• Characterization of Some First Passage Times Using Log-Concavity and Log-Convexity as Aging Notions
• Dependence and order in families of Archimedean copulas
• Dependence for Archimedean copulas and aging properties of their generating functions
• Families of Multivariate Distributions
• Logconcavity versus logconvexity: A complete characterization
• PRESERVATION OF STOCHASTIC ORDERS UNDER MIXTURES OF EXPONENTIAL DISTRIBUTIONS
• Random vectors with HNBUE-type marginal distributions
• Relations among univariate aging, bivariate aging and dependence for exchangeable lifetimes
• Some tests against aging based on the total time on test transform
• Stochastic Comparison of Random Vectors with a Common Copula
• Stochastic orders
• Using copulae to bound the value-at-risk for functions of dependent risks

Cited in

(9)

• Stochastic orders in time transformed exponential models with applications
• Stochastic ordering of variability measure estimators
• On dynamic mutual information for bivariate lifetimes
• Comparisons of coherent systems under the time-transformed exponential model
• Stochastic comparison on active redundancy allocation to K-out-of-N systems with statistically dependent component and redundancy lifetimes
• New properties of the orthant convex-type stochastic orders
• On stochastic comparisons and ageing properties of multivariate proportional hazard rate mixtures
• On sums of dependent random lifetimes under the time-transformed exponential model
• Burn-in for a time-transformed exponential model

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