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

DOI10.1016/j.insmatheco.2006.02.015zbMath1098.62070OpenAlexW2002701689MaRDI QIDQ849598

Lihong Zhang, Jing-Ping Yang, Shi Hong 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

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

Related Items (10)

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On nonparametric measures of dependence for random variables
• An introduction to copulas. Properties and applications
• Non-additive measure and integral
• Axiomatic characterization of insurance prices
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Entropy densities with an application to autoregressive conditional skewness and kurtosis.
• Diversification of aggregate dependent risks
• Integral Representation Without Additivity
• Modelling sample selection using Archimedean copulas
• The Dual Theory of Choice under Risk
• Stochastic Comparison of Random Vectors with a Common Copula

This page was built for publication: Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence