A class of multivariate copulas with bivariate Fréchet marginal copulas

DOI10.1016/j.insmatheco.2009.05.007zbMath1231.91253OpenAlexW1965587041MaRDI QIDQ659106

Ruodu Wang, Yongcheng Qi, Jing-Ping Yang

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.007

zbMATH Keywords

conditional independencebivariate Fréchet copulasmarginal copulasmultivariate copulas

Mathematics Subject Classification ID

Related Items (7)

Bernoulli and tail-dependence compatibility ⋮ Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula ⋮ The complete mixability and convex minimization problems with monotone marginal densities ⋮ CreditRisk⁺Model with Dependent Risk Factors ⋮ Stochastic distortion and its transformed copula ⋮ Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks ⋮ A Compendium of Copulas

Uses Software

• CreditRisk+

Cites Work

• An introduction to copulas.
• Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
• Non-additive measure and integral
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Multivariate Fréchet copulas and conditional value-at-risk
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