Multivariate Survival Modelling: A Unified Approach with Copulas

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 (attrition models), the link between default, prepayment and credit life, the measure of risk for a credit portfolio and the pricing of credit derivatives.

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