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A stress-strength model with dependent variables to measure household financial fragility

机译：带有因变量的压力-强度模型，用于衡量家庭金融脆弱性

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摘要

The paper is inspired by the stress-strength models in the reliability literature, in which given the strength (F) and the stress (X) of a component, its reliability is measured by P(X < Y). In this literature, X and Y are typically modeled as independent. Since in many applications such an assumption might not be realistic, we propose a copula approach in order to take into account the dependence between X and Y. We then apply a copula-based approach to the measurement of household financial fragility. Specifically, we define as financially fragile those households whose yearly consumption (X) is higher than income (Y), so that P(X > Y) is the measure of interest and X and Y are clearly not independent. Modeling income and consumption as non-identically Dagum distributed variables and their dependence by a Frank copula, we show that the proposed method improves the estimation of household financial fragility. Using data from the 2008 wave of the Bank of Italy's Survey on Household Income and Wealth we point out that neglecting the existing dependence in fact overestimates the actual household fragility.
机译：本文受到可靠性文献中的应力-强度模型的启发，其中给定组件的强度（F）和应力（X），其可靠性由P（X Y）表示利息，而X和Y显然不是独立的。通过Frank copula将收入和消费建模为不同的Dagum分布变量及其依赖性，我们证明了所提出的方法改善了家庭金融脆弱性的估计。使用意大利银行2008年家庭收入和财富调查的数据，我们指出，忽略现有的依赖实际上高估了实际的家庭脆弱性。

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