Copula Models for Dependent Competing Risks

Many empirical problems involve the modelling of life-times or durations. In many situations there are multiple reasons for a duration to end, which is called competing risks. These models become methodologically and practically challenging when the risks are dependent. In this talk, the author will give an overview of how copula modelling can be used to reflect the dependencies. He will cover different modelling approaches under different sets of assumptions. To illustrate the relevance for empirical research, the author will show results from applications and simulations.