Fang, Y.; Madsen, L. - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 292-301
of random variables. We present the characteristics of the modified Gaussian pseudo-copula and show that our modification … enables the copula to capture the tail dependence adequately. The proposed modified Gaussian pseudo-copula is assessed by … comparing goodness-of-fit test statistics is carried out. Both experiment results demonstrate that our Modified Gaussian pseudo-copula …