Name
Abstract | ||
|---|---|---|
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. |
Year | DOI | Venue |
|---|---|---|
2015 | 10.1017/S0021900200113154 | JOURNAL OF APPLIED PROBABILITY |
Keywords | DocType | Volume |
Copula, coupling, disintegration theorem, Markov kernel, singular measure | Journal | 52 |
Issue | ISSN | Citations |
4 | 0021-9002 | 3 |
PageRank | References | Authors |
0.50 | 1 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Fabrizio Durante | 1 | 391 | 59.28 |
| J. Fernández-Sánchez | 2 | 29 | 7.01 |
| Wolfgang Trutschnig | 3 | 104 | 10.91 |