On a bivariate copula with both upper and lower full-range tail dependence

DOI10.1016/J.INSMATHECO.2017.01.003zbMath1397.62181OpenAlexW2586128247MaRDI QIDQ1681193

Lei Hua

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.01.003

zbMATH Keywords

hypergeometric functionsintermediate tail dependencetail orderbeta prime scale mixturesquadrant tail independenceusual tail dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items (7)

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Uses Software

• QRM
• CopulaModel

Cites Work

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• The analytic continuation of the Gaussian hypergeometric function \(_2F_1(a,b;c;z)\) for arbitrary parameters
• Numerical evaluation of Appell's \(F_1\) hypergeometric function

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