Frailty Models and Copulas: Similarities and Dif- ferences
نویسنده
چکیده
Copulas and frailty models are important tools to model bivariate survival data. Equivalence between Archimedean copula models and shared frailty models, e.g., between the Clayton-Oakes copula model and the shared gamma frailty model, has often been claimed in the literature. In this note we show that, in both models, there is indeed the well known equivalence between the copula functions; the modeling of the marginal survival functions, however, is quite different. The latter fact leads to different joint survival functions.
منابع مشابه
Basket Default Swaps, CDO’s and Factor Copulas
We consider a factor approach to the pricing of basket credit derivatives and synthetic CDO tranches. Our purpose is to deal in a convenient way with dependent defaults for a large number of names. We provide semi-explicit expressions of the stochastic intensities of default times and pricing formulae for basket default swaps and CDO tranches. Two cases are studied in detail: mean-variance mixt...
متن کاملThe Frailty and the Archimedean Structure of the General Multivariate Pareto Distributions
The mixture property of the general multivariate Pareto MP distributions has been studied by Yeh (2004a). Arnold (1996) mentioned that any mixing distribution with support (0,∞) is a candidate for a frailty model. This fact drives Yeh to study the frailty structure of the MP distributions. It is discerned that the MP distributions is in the one-parameter kvariate Clayton family with k-variate A...
متن کاملSupplemental Information Mixing Temperatures of Bilayers Not Simply Related to Thickness Dif- ferences between Lo and Ld Phases
متن کامل
Analysis of Birth Spacing Using Frailty Models
Background and objectives: Birth spacing is an important variable for identification of fertility acceleration, total fertility rate, and maternal and fetal health. Therefore, special attention has been paid to this issue by researchers in the fields of medical sciences, health, and population. In addition, proper analysis of this concept is of foremost importance. Application of classical anal...
متن کاملDynamic dependence ordering for Archimedean copulas and distorted copulas
This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i. e. given remaining lifetimes X , to compare the dependence of X given X > t, and X given X > s, where s > t. More precisely, analytical results will be obtained in the case the survival copula of X is either Archimedean or a distorted copula. The case of a frailty based mode...
متن کامل