A class of multivariate copulas with bivariate Frechet marginal copulas
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.
Year of publication: |
2009
|
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Authors: | Yang, Jingping ; Qi, Yongcheng ; Wang, Ruodu |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 45.2009, 1, p. 139-147
|
Publisher: |
Elsevier |
Keywords: | Multivariate copulas Bivariate Frechet copulas Conditional independence Marginal copulas |
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