Dispersive effect of cross-aging with archimedean copulas
Résumé
In this paper, we compare conditional distributions derived from bivariate archimedean copulas in terms of their respective variability using the dispersive stochastic order. Specifically, we fix the underlying copula and we consider the effect of increasing the second component on the variability of the conditional distribution of the first component. Characterizations are provided in terms of the generator and of the marginal distributions. Several examples involving standard parametric copulas such as Clayton and Frank are discussed.
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