English, Article edition: A class of multivariate copulas with bivariate Frechet marginal copulas Yang, Jingping; Qi, Yongcheng; Wang, Ruodu

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Physical Description
  • article
Language
  • English

Edition details

Title
  • A class of multivariate copulas with bivariate Frechet marginal copulas
Author
  • Yang, Jingping
  • Qi, Yongcheng
  • Wang, Ruodu
Physical Description
  • article
Notes
  • In this paper, we present a class of multivariate copulas whose two-dimensional marginals belong to the family of bivariate Frechet copulas. The coordinates of a random vector distributed as one of these copulas are conditionally independent. We prove that these multivariate copulas are uniquely determined by their two-dimensional marginal copulas. Some other properties for these multivariate copulas are discussed as well. Two applications of these copulas in actuarial science are given.
  • Multivariate copulas Bivariate Frechet copulas Conditional independence Marginal copulas
  • RePEc:eee:insuma:v:45:y:2009:i:1:p:139-147
Language
  • English
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