Joint characteristic functions construction via copulas

DOI10.1016/j.insmatheco.2010.06.003zbMath1231.91203OpenAlexW2029731172MaRDI QIDQ661226

Janez Komelj, Mihael Perman

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.2010.06.003

zbMATH Keywords

copulascharacteristic functionsdistortion functionsjoint distributions with given marginals

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characteristic functions; other transforms (60E10)

Cites Work

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• Risk Measures and Comonotonicity: A Review
• Some new parametric families of multivariate copulas
• New generalized Farlie-Gumbel-Morgenstern distributions and concomitants of order statistics
• A Family of Bivariate Densities Constructed from Marginals
• Modifications of the Farlie-Gumbel-Morgenstern distributions. A tough hill to climb.
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