A Biconvex Form for Copulas

• Autorzy: Sebastian Fuchs
• Języki publikacji: EN

Abstrakty

EN

We study the integration of a copula with respect to the probability measure generated by another copula. To this end, we consider the map [. , .] : C × C → R given by [...] where C denotes the collection of all d–dimensional copulas and QD denotes the probability measures associated with the copula D. Specifically, this is of interest since several measures of concordance such as Kendall’s tau, Spearman’s rho and Gini’s gamma can be expressed in terms of the map [. , .]. Quite generally, the map [. , .] can be applied to construct and investigate measures of concordance.

Słowa kluczowe

EN

biconvex form; copulas; concordance order; group of transformations; measures of concordance

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2016
• Tom: 4
• Numer: 1

Daty

otrzymano

2015-11-09

zaakceptowano

2016-02-05

online

2016-02-23

Twórcy

autor

Sebastian Fuchs

• Lehrstuhl für Versicherungsmathematik, Technische Universität Dresden

Identyfikatory

DOI

10.1515/demo-2016-0003