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

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)

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Cited in

(15)

• Approximation of bivariate copulas by patched bivariate Fréchet copulas
• Multivariate return decomposition: theory and implications
• Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula
• A class of multivariate copulas with bivariate Fréchet marginal copulas
• Comparison of correlation-based measures of concordance in terms of asymptotic variance
• Comonotonicity for sets of probabilities
• Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
• Copula-based Markov process
• CreditRisk\(^+\) model with dependent risk factors
• Shuffle of min's random variable approximations of bivariate copulas' realization
• Moments of discounted aggregate claims with dependence based on Spearman copula
• Decomposition and graphical correspondence analysis of checkerboard copulas
• Invariant correlation under marginal transforms
• A copula-based approximation to Markov chains
• A Decomposition of Copulas and Its Use

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