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Dependence of exchangeable residual lifetimes subject to failure
Journal article   Peer reviewed

Dependence of exchangeable residual lifetimes subject to failure

Fabrizio Durante and Rachele Foschi
Applied Mathematics and Computation, Vol.235, pp.502-511
235
2014
DOI: https://doi.org/10.1016/j.amc.2014.02.069
Handle:
https://hdl.handle.net/10863/8678

Abstract

Quantitative methods and economic modeling Copulas Dependence models Quantitative risk management
We provide exact formulas about the survival copula of an exchangeable random vector of residual lifetimes when some of the components have failed. Specific computations are carried out in the case of Archimedean copulas and the evolution of dependence after successive failures of some components is shown numerically via measures of association.

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