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	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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