Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and independence | |
Yang, Jingping ; Cheng, Shihong ; Zhang, Lihong | |
2006 | |
关键词 | comonotonic factor countermonotonic factor independent factor copula decomposition |
英文摘要 | Copulas are statistical tools for modelling the multivariate dependence structure among variables in a distribution free way. This paper investigates bivariate copula structure; the existence and uniqueness of a bivariate copula decomposition into a comonotonic, an independent, a countermonotonic, and an indecomposable part are proved, while the coefficients are determined from partial derivatives of the corresponding copula. Moreover, for the indecomposable part, an optimal convex approximation is provided and analyzed on the basis of the usual criterion. Some applications of the decomposition in finance and insurance are mentioned. (c) 2006 Elsevier B.V. All rights reserved.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000240572300007&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability; SCI(E); SSCI; 5; ARTICLE; 2; 267-284; 39 |
语种 | 英语 |
出处 | SCI |
出版者 | insurance mathematics economics |
内容类型 | 其他 |
源URL | [http://hdl.handle.net/20.500.11897/251521] ![]() |
专题 | 数学科学学院 |
推荐引用方式 GB/T 7714 | Yang, Jingping,Cheng, Shihong,Zhang, Lihong. Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and independence. 2006-01-01. |
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