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December 2015 On the singular components of a copula
Fabrizio Durante, Juan Fernández-Sánchez, Wolfgang Trutschnig
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J. Appl. Probab. 52(4): 1175-1182 (December 2015). DOI: 10.1239/jap/1450802760

Abstract

We analyze copulas with a nontrivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a nonzero probability, but even provide a copula maximizing the probability of joint default.

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Fabrizio Durante. Juan Fernández-Sánchez. Wolfgang Trutschnig. "On the singular components of a copula." J. Appl. Probab. 52 (4) 1175 - 1182, December 2015. https://doi.org/10.1239/jap/1450802760

Information

Published: December 2015
First available in Project Euclid: 22 December 2015

zbMATH: 1336.60020
MathSciNet: MR3439179
Digital Object Identifier: 10.1239/jap/1450802760

Subjects:
Primary: 60E05
Secondary: 28A50, 91G70

Rights: Copyright © 2015 Applied Probability Trust

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Vol.52 • No. 4 • December 2015
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