Denuit, Michel
[UCL]
Mesfioui, Mhamed
[Université du Québec à Trois-Rivières (Québec), Canada]
In this paper, we derive a sufficient condition for the orthant convex order based on the single crossing of their respective joint survival functions. This condition is expressed in terms of the generators for archimedean copulas. Numerical examples show that this condition is valid for members of standard copula families (including Clayton and Frank).
Bibliographic reference |
Denuit, Michel ; Mesfioui, Mhamed. A sufficient condition of crossing-type for the bivariate orthant convex order. ISBA Discussion Paper ; 2012/28 (2012) 10 pages |
Permanent URL |
http://hdl.handle.net/2078.1/128905 |