ON THE SINGULAR COMPONENTS OF A COPULA

被引：11

作者：

Durante, Fabrizio ^{[1
]}

Fernandez-Sanchez, Juan ^{[2
]}

Trutschnig, Wolfgang ^{[3
]}

机构：

[1] Free Univ Bozen Bolzano, Fac Econ & Management, Bolzano, Italy

[2] Univ Almeria, Grp Invest Anal Matemat, La Canada De San Urbano, Almeria, Spain

[3] Salzburg Univ, Dept Math, A-5020 Salzburg, Austria

来源：

JOURNAL OF APPLIED PROBABILITY | 2015年 / 52卷 / 04期

关键词：

Copula; coupling; disintegration theorem; Markov kernel; singular measure; SHUFFLES;

D O I：

10.1017/S0021900200113154

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

070103 [概率论与数理统计]; 140311 [社会设计与社会创新];

摘要：

We analyze copulas with a nontrivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a nonzero probability, but even provide a copula maximizing the probability of joint default.

引用

页码：1175 / 1182

页数：8

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