Convergence of Archimedean copulas

被引：17
作者：
Charpentier, Arthur [1 ]
Segers, Johan [2 ,3 ]
机构：
[1] ENSAE, CREST, Timbre J120, F-92240 Malakoff, France
[2] Tilburg Univ, B-1348 Louvain, Belgium
[3] Catholic Univ Louvain, Inst Stat, B-1348 Louvain, Belgium
来源：
STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 04期
关键词：
Archimedean copula; generator; Kendall distribution function;
D O I：
10.1016/j.spl.2007.07.014
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：412 / 419
页数：8
相关论文
共 50 条
  • [41] Archimedean copulas in finite and infinite dimensions-with application to ruin problems
    Constantinescu, Corina
    Hashorva, Enkelejd
    Ji, Lanpeng
    INSURANCE MATHEMATICS & ECONOMICS, 2011, 49 (03) : 487 - 495
  • [42] Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
    Choe, Geon Ho
    Jang, Hyun Jin
    INSURANCE MATHEMATICS & ECONOMICS, 2011, 48 (02) : 205 - 213
  • [43] Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
    You, Yinping
    Li, Xiaohu
    ANNALS OF OPERATIONS RESEARCH, 2017, 259 (1-2) : 485 - 501
  • [44] On an idempotent transformation of aggregation functions and its application on absolutely continuous Archimedean copulas
    De Baets, B.
    De Meyer, H.
    Diaz, S.
    FUZZY SETS AND SYSTEMS, 2009, 160 (06) : 733 - 751
  • [45] Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
    Yinping You
    Xiaohu Li
    Annals of Operations Research, 2017, 259 : 485 - 501
  • [46] Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family
    Cooray, Kahadawala
    DEPENDENCE MODELING, 2018, 6 (01): : 1 - 18
  • [47] Investigating the correlation structure of quadrivariate udder infection times through hierarchical Archimedean copulas
    Leen Prenen
    Roel Braekers
    Luc Duchateau
    Lifetime Data Analysis, 2018, 24 : 719 - 742
  • [48] Spin-off Extreme Value and Archimedean copulas for estimating the bivariate structural risk
    Pappada, R.
    Perrone, E.
    Durante, F.
    Salvadori, G.
    STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT, 2016, 30 (01) : 327 - 342
  • [49] Spin-off Extreme Value and Archimedean copulas for estimating the bivariate structural risk
    R. Pappadà
    E. Perrone
    F. Durante
    G. Salvadori
    Stochastic Environmental Research and Risk Assessment, 2016, 30 : 327 - 342
  • [50] Investigating the correlation structure of quadrivariate udder infection times through hierarchical Archimedean copulas
    Prenen, Leen
    Braekers, Roel
    Duchateau, Luc
    LIFETIME DATA ANALYSIS, 2018, 24 (04) : 719 - 742
12345