Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence

DOI10.1016/J.INSMATHECO.2006.02.015zbMATH Open1098.62070OpenAlexW2002701689MaRDI QIDQ849598FDOQ849598

Authors: Lihong Zhang, Jingping Yang, Shihong Cheng 

Publication date: 31 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.015

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zbMATH Keywords

comonotonic factorcopula decompositioncountermonotonic factorindependent factor

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric inference (62G99)

Cites Work

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Cited In (12)

• A Decomposition of Copulas and Its Use
• Shuffle of min’s random variable approximations of bivariate copulas’ realization
• Invariant correlation under marginal transforms
• CreditRisk⁺Model with Dependent Risk Factors
• A class of multivariate copulas with bivariate Fréchet marginal copulas
• Comparison of correlation-based measures of concordance in terms of asymptotic variance
• Moments of discounted aggregate claims with dependence based on Spearman copula
• Approximation of bivariate copulas by patched bivariate Fréchet copulas
• Comonotonicity for sets of probabilities
• A copula-based approximation to Markov chains
• Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula
• Copula-based Markov process

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