Can I read Lorenz-generated bivariate Archimedean copulas on EtoBox?

Lorenz-generated bivariate Archimedean copulas by Fontanari, Andrea ;Cirillo, Pasquale ;Oosterlee, Cornelis W. is a Economics, Econometrics and Finance article available to read on EtoBox.

What is Lorenz-generated bivariate Archimedean copulas about?

Abstract A novel generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a non-negative random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and tail risk. In this paper, these curves are seen as integral transforms generating increasing convex functions in the unit square. Many of the properties of these “Lorenz copulas”, from tail dependence and stochastic ordering, to their Kendall distribution function and the size of the singular part, depend on simple features of the random variable associated to the generating Lorenz curve. For instance, by selecting random variables with a lower bound at zero it is possible to create copulas with asymptotic upper tail dependence. An “alchemy” of Lorenz curves that can be used as general framework to build multiparametric families of copulas is also discussed.

Who reads Lorenz-generated bivariate Archimedean copulas?

Author

Fontanari, Andrea ;Cirillo, Pasquale ;Oosterlee, Cornelis W.

Publisher

Walter de Gruyter GmbH

Published

2020

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)