The Copula Derived from the SAHARA Utility Function

Jaap Spreeuw

Risks, 2022, vol. 10, issue 7, 1-10

Abstract: A new Archimedean copula family is presented that was derived from the SAHARA utility function introduced in the economic literature in 2011. Its properties are discussed, and its flexibility and versatility are demonstrated. It is left tail decreasing or right tail increasing, but unlike mainstream Archimedean families, not necessarily stochastically increasing at the same time. It is shown that the family fits very well to a dataset of previously studied coupled lives in the literature.

Keywords: copula; Archimedean generator; dependence; coupled lives (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2022
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