A Biconvex Form for Copulas

Fuchs Sebastian
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Fuchs Sebastian: Lehrstuhl für Versicherungsmathematik, Technische Universität Dresden

Dependence Modeling, 2016, vol. 4, issue 1, 13

Abstract: We study the integration of a copula with respect to the probability measure generated by another copula. To this end, we consider the map [. , .] : C × C → R given bywhere C denotes the collection of all d–dimensional copulas and QD denotes the probability measures associated with the copula D. Specifically, this is of interest since several measures of concordance such as Kendall’s tau, Spearman’s rho and Gini’s gamma can be expressed in terms of the map [. , .]. Quite generally, the map [. , .] can be applied to construct and investigate measures of concordance.

Keywords: biconvex form; copulas; concordance order; group of transformations; measures of concordance (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:4:y:2016:i:1:p:13:n:3

DOI: 10.1515/demo-2016-0003

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