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Denuit, Michel M. 1 Mesfioui, Mhamed 1
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The dispersive effect of cross-aging with archimedean copulas
Denuit, Michel M.; Mesfioui, Mhamed - In: Statistics & Probability Letters 81 (2011) 9, pp. 1407-1418
In this work, we compare conditional distributions derived from bivariate archimedean copulas in terms of their respective variabilities using the dispersive stochastic order. Specifically, we fix the underlying copula and we consider the effect of increasing the second component on the...
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