Joint Survival Probabilities and Correlation \( \rho \)

Students often conflate the correlation

\rho

of the survival times

T_1, T_2

with the dependence structure of the hazard rates. Crucially, even if

\rho = 0

, the variables might still be non-linearly dependent;

\rho

only captures the linear component of their co-movement.

Institutional Reference: Advanced Stochastic Processes