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Simulating from a family of generalized Archimedean copulas
Book chapter   Peer reviewed

Simulating from a family of generalized Archimedean copulas

Fabrizio Durante
Topics in Statistical Simulation : Research Papers from the 7th International Workshop on Statistical Simulation, Vol.114, pp.149-156
Springer Proceedings in Mathematics & Statistics, 114, Springer
2014
DOI: https://doi.org/10.1007/978-1-4939-2104-1_14
Handle:
https://hdl.handle.net/10863/13878

Abstract

Quantitative methods and economic modeling Copulas Numerical simulation
We present a generalized class of bivariate Archimedean copulas. Such a class enlarges the family of Archimedean copulas since it allows the presence of a singular component along the main diagonal of the copula domain. Sampling procedures are derived in order to enhance practical application. The investigations are expected to be useful in bivariate models of lifetimes and in credit risk models of joint defaults.
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