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On the singular components of a copula
Journal article   Peer reviewed

On the singular components of a copula

Fabrizio Durante, Juan Fernández-Sánchez and Wolfgang Trutschnig
Journal of Applied Probability, Vol.52(4), pp.1175-1182
52
2015
Handle:
https://hdl.handle.net/10863/1531

Abstract

Quantitative methods and economic modeling Copulas Quantitative risk management
We analyze copulas with a nontrivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a nonzero probability, but even provide a copula maximizing the probability of joint default.
url
http://projecteuclid.org/euclid.jap/1450802760View

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