A New Family of Bivariate Exponential Distributions with Negative Dependence Based on Counter-Monotonic Shock Method

Entropy (Basel). 2021 Apr 29;23(5):548. doi: 10.3390/e23050548.


We introduce a new family of bivariate exponential distributions based on the counter-monotonic shock model. This family of distribution is easy to simulate and includes the Fréchet lower bound, which allows to span all degrees of negative dependence. The construction and distributional properties of the proposed bivariate distribution are presented along with an estimation of the parameters involved in our model based on the method of moments. A simulation study is carried out to evaluate the performance of the suggested estimators. An extension to the general model describing both negative and positive dependence is sketched in the last section of the paper.

Keywords: Fréchet bound; bivariate exponential distributions; common shock; counter-monotonic; dependence modeling; negative dependence.