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Multivariate Survival Modelling: A Unified Approach with Copulas
2001
Social Science Research Network
In this paper, we review the use of copulas for multivariate survival modelling. In particular, we study properties of survival copulas and discuss the dependence measures associated to this construction. Then, we consider the problem of competing risks. We derive the distribution of the failure time and order statistics. After having presented statistical inference, we finally provide financial applications which concern the life time value, the link between default, prepayment and credit
doi:10.2139/ssrn.1032559
fatcat:bklici2ibvdydfb46hbhkrweke