A class of multivariate copulas with bivariate Frechet marginal copulas

Jingping Yang, Yongcheng Qi and Ruodu Wang

Insurance: Mathematics and Economics, 2009, vol. 45, issue 1, pages 139-147

Abstract: In this paper, we present a class of multivariate copulas whose two-dimensional marginals belong to the family of bivariate Frechet copulas. The coordinates of a random vector distributed as one of these copulas are conditionally independent. We prove that these multivariate copulas are uniquely determined by their two-dimensional marginal copulas. Some other properties for these multivariate copulas are discussed as well. Two applications of these copulas in actuarial science are given.

Keywords: Multivariate; copulas; Bivariate; Frechet; copulas; Conditional; independence; Marginal; copulas (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:1:p:139-147

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