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Asymmetric linkages: maxmin vs. reflected maxmin copula

19.08.2019Comments are closed.

Keywords:
Copula,
dependence concepts,
maxmin copulas,
transformations of distribution functions,
PQD property,
survival analysis,
shock models.

Authors:

  • dr. Damjana Kokol Bukovšek, University of Ljubljana, School of Economics and Business
  • dr. Tomaž Košir, University of Ljubljana, Faculty of Mathematics and Physics
  • dr. Blaž Mojškerc, University of Ljubljana, School of Economics and Business
  • dr. Matjaž Omladič, Institute of Mathematics, Physics and Mechanics

Abstract:

In this paper we introduce some new copulas emerging from shock models. It was shown in that reflected maxmin copulas (RMM for short) are not just some specific singular copulas; they contain many important absolutely continuous copulas including the negative quadrant dependent “half” of the Eyraud-Farlie-Gumbel-Morgenstern class. The main goal of this paper is to develop the RMM copulas with dependent endogenous shocks and give evidence that RMM copulas may exhibit some characteristics better than the original maxmin copulas (MM for short): (1) An important evidence for that is the iteration procedure of the RMM transformation which we prove to be always convergent and we give many properties of it that are useful in applications. Using this result we find also the limit of the iteration procedure of the MM transformation thus answering a question proposed in. We give the multivariate dependent RMM copula that compares to the MM version given in. In all our copulas the idiosyncratic and systemic shocks are combined via asymmetric linking functions as opposed to Marshall copulas where symmetric linking functions are used.

Journal:

Fuzzy sets and systems : international journal of soft computing and intelligence, 2019

Indexing:

JCR 8/123

The article is available here.


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