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Simulating from a Family of Generalized Archimedean Copulas

  • Fabrizio DuranteEmail author
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 114)

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.

Keywords

Archimedean Copulas Joint Default Singular Component Tail Dependence Natural Catastrophic Events 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Notes

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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Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  1. 1.Faculty of Economics and ManagementFree University of Bozen-BolzanoBolzanoItaly

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