no. 3
Probability Theory/Statistics
A new family of symmetric bivariate copulas
[Une nouvelle famille de copules symétriques bivariées]

Présenté par : Paul Deheuvels

Durante, Fabrizio1
1 Department of Knowledge-Based Mathematical Systems, Johannes Kepler University, A-4040 Linz, Austria
Comptes Rendus. Mathématique, Tome 344 (2007) no. 3, pp. 195-198.

On introduit une nouvelle famille de copules, qui dépendent d'une fonction unidimensionnelle, et l'on étudie ses propriétés (dépendance, ordre, symétrie).

A new class of copulas, depending on an univariate function, is introduced and its properties (dependence, ordering, symmetry) are studied.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2006.12.004
Durante, Fabrizio 1

1 Department of Knowledge-Based Mathematical Systems, Johannes Kepler University, A-4040 Linz, Austria 
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Durante, Fabrizio. A new family of symmetric bivariate copulas. Comptes Rendus. Mathématique, Tome 344 (2007) no. 3, pp. 195-198. doi : 10.1016/j.crma.2006.12.004. http://www.numdam.org/articles/10.1016/j.crma.2006.12.004/

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[6] Rodríguez Lallena, J.A.; Úbeda Flores, M. A new class of bivariate copulas, Statist. Probab. Lett., Volume 66 (2004), pp. 315-325

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Cité par Sources :

⁎ A first version of this paper was written when the author was Ph.D. student at the Department of Mathematics of the University of Lecce (Italy). This work was partially supported by the Italian M.I.U.R. through the project “Metodi stocastici in finanza matematica”.