Simulating from a family of generalized Archimedean copulas
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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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Short book review: Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications by Jan-Frederik Mai, Matthias Scherer, with contributions by Claudia Czado, Elke Korn, Ralf Korn, Jakob Stöber; Imperial College Press, 2012, xiv + 295 pages, £71.00, hardcover; ISBN: 978-1-84816-874-9 Durante, F (Wiley-Blackwell, 2013)