Joint characteristic functions construction via copulas

被引：0

作者：

Komelj, Janez ^{[1
]}

Perman, Mihael ^{[2
]}

机构：

[1] Sava Reinsurance Co DD, SI-1000 Ljubljana, Slovenia

[2] Univ Ljubljana, Inst Math Phys & Mech, SI-1000 Ljubljana, Slovenia

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2010年 / 47卷 / 02期

关键词：

Copulas; Distortion functions; Joint distributions with given marginals; Characteristic functions; GUMBEL-MORGENSTERN DISTRIBUTIONS; RISK MEASURES; MARGINALS;

D O I：

10.1016/j.insmatheco.2010.06.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

When modelling dependent risks it is important to be able to generate joint distributions with given marginals. One of the ways which may be useful in connection with using the Fast Fourier Transform is to construct joint characteristic functions from marginal characteristic functions. In this paper a class of n-dimensional continuous copulas is presented which in turn lead to a simple construction of joint characteristic functions with given marginal characteristic functions. Bounds on various measures of correlation are also given. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：137 / 143

页数：7

共 22 条

[1] A new extension of bivariate FGM copulas [J].