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.
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Acknowledgements
The author thanks Sabrina Mulinacci (University of Bologna) for useful comments and discussions about the topic of this manuscript. The author acknowledges the support of Free University of Bozen-Bolzano, via the project MODEX.
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Durante, F. (2014). Simulating from a Family of Generalized Archimedean Copulas. In: Melas, V., Mignani, S., Monari, P., Salmaso, L. (eds) Topics in Statistical Simulation. Springer Proceedings in Mathematics & Statistics, vol 114. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-2104-1_14
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