On the singular components of a copula

DOI10.1239/JAP/1450802760MaRDI QIDQ2794733zbMATH OpenOpenAlexFDO

Authors Fabrizio Durante, Juan Fernández-Sánchez, Wolfgang Trutschnig

Publication date 11 March 2016

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1450802760

zbMATH Keywords

copulacouplingdisintegration theoremMarkov kernelsingular measure

Mathematics Subject Classification ID

Integration and disintegration of measures (28A50) Probability distributions: general theory (60E05) Statistical methods; risk measures (91G70)

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Cites work

• A note on the notion of singular copula
• Aging functions and multivariate notions of NBU and IFR
• Comparisons of series and parallel systems with components sharing the same copula
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• Copulae in mathematical and quantitative finance. Proceedings of the workshop, Cracow, Poland, July 10--11, 2012
• Copulas with continuous, strictly increasing singular conditional distribution functions
• Copulas with fractal supports
• Decompositions of Substochastic Transition Functions
• Dependence modeling with copulas
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
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• Shuffles of copulas
• Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
• Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals
• Some results on shuffles of two-dimensional copulas
• Stochastic ordering properties for systems with dependent identically distributed components

Cited in

(18)

• The distribution of the probability mass of conic copulas
• On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results
• Curved splicing of copulas
• Zero-sets of copulas
• A note on an idempotent transformation of absolutely continuous Archimedean copulas
• Zero-linear copulas
• Singular components of shock model copulas
• Copulas with continuous, strictly increasing singular conditional distribution functions
• Copula-based Markov process
• A typical copula is singular
• Shock models with dependence and asymmetric linkages
• On universal K_C-integrals
• Singular mixture copulas
• Covar of families of copulas
• Singularity aspects of Archimedean copulas
• Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals
• On the measure induced by copulas that are invariant under univariate truncation
• Dependent censoring with simultaneous death times based on the generalized Marshall-Olkin model

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