A new class of copulas referred to as “Sibuya copulas” is introduced and its properties are investigated. Members of this class are of a functional form which was first investigated in the work of M. Sibuya. The construction of Sibuya copulas is based on an increasing stochastic process...

A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical...