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On copulas with a trapezoid support

Author

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  • Jaworski Piotr

    (Department of Mathematics, Institute of Mathematics, Banacha 2, University of Warsaw, Warszawa, Poland)

Abstract

A family of bivariate copulas given by: for v + 2 u

Suggested Citation

  • Jaworski Piotr, 2023. "On copulas with a trapezoid support," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-23, January.
    • Handle: RePEc:vrs:demode:v:11:y:2023:i:1:p:23:n:1
    DOI: 10.1515/demo-2023-0101
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    References listed on IDEAS

    as
    1. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
    2. Joe, Harry & Li, Haijun & Nikoloulopoulos, Aristidis K., 2010. "Tail dependence functions and vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 252-270, January.
    3. Donnelly, Catherine & Embrechts, Paul, 2010. "The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis," ASTIN Bulletin, Cambridge University Press, vol. 40(1), pages 1-33, May.
    4. Durante, Fabrizio & Jaworski, Piotr & Mesiar, Radko, 2011. "Invariant dependence structures and Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1995-2003.
    5. Paul Embrechts, 2009. "Copulas: A Personal View," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 639-650, September.
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