Bivariate Copula Decomposition in Terms of Comonotonicity, Countermonotonicity and Independence

摘要：

Copulas are statistical tools for modelling the multivariate dependence structure among variables in a distribution free way. This paper investigates bivariate copula structure, the existence and uniqueness of bivariate copula decomposition in terms of a comonotonic, an independent, a countermonotonic, and an indecomposable part are proved, while the coefficients are determined by partial derivatives of the corresponding copula. Moreover, for the indecomposable part, an optimal convex approximation is provided and analyzed based on the usual criterion. Some applications of the decomposition in finance and insurance are mentioned.

关键词： Comonotonotic factor Countermonotonotic factor Independent factor Copula decomposition

作者: Jingping Yang Shihong Cheng Lihong Zhang

作者单位: LMAM, Department of Financial Mathematics, Peking University, Beijing, China LMAM, Department of Probability and Statistics, Peking University, Beijing, China School of Economics and Management, Tsinghua University, Beijing, China

会议类型: 国际会议

会议名称: 2005年中国金融国际年会

会议地点: 昆明

会议语种:英文

页码: 1-26

在线出版日期: 2005-07-05（万方平台首次上网日期，不代表论文的发表时间）