Simulating from a Family of Generalized Archimedean Copulas View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2014-11-18

AUTHORS

Fabrizio Durante

ABSTRACT

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. More... »

PAGES

149-156

Book

TITLE

Topics in Statistical Simulation

ISBN

978-1-4939-2103-4
978-1-4939-2104-1

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-1-4939-2104-1_14

DOI

http://dx.doi.org/10.1007/978-1-4939-2104-1_14

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1051173053


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