Bivariate Copulas Based on Counter-Monotonic Shock Method

Bivariate Copulas Based on Counter-Monotonic Shock Method

This paper explores the properties of a family of bivariate copulas based on a new approach using the counter-monotonic shock method. The resulting copula covers the full range of negative dependence induced by one parameter. Expressions for the copula and density are derived and many theoretical pr...

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Bibliographic Details
Main Authors: Farid El Ktaibi, Rachid Bentoumi, Nicola Sottocornola, Mhamed Mesfioui
Format: Article
Language:English
Published: MDPI AG 2022-10-01
Series:Risks
Subjects:
bivariate copula
counter-monotonic
negative dependence
singularity
financial risk
statistical modeling
Online Access:https://www.mdpi.com/2227-9091/10/11/202

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