Copulas with fractal supports

Insurance: Mathematics and Economics

Volumn 37, Issue 1 SPEC. ISS., 2005, Pages 42-48

  Fredricks, Gregory A ^a   Nelsen, Roger B ^a   Rodríguez Lallena, José Antonio ^b  

^a LEWIS AND CLARK COLLEGE   (United States)

^b UNIVERSITY OF ALMERÍA   (Spain)

Author keywords

Copula; Fractal; Iterated function system

Indexed keywords

EID: 23444455965     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.12.004     Document Type: Article

References (9)

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5. K. Falconer Fractal Geometry: Mathematical Foundations and Applications 1990 Wiley New York
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7. P. Mikusiński H. Sherwood M.D. Taylor Shuffles of min Stochastica 13 1992 61-74
8. R.B. Nelsen An Introduction to Copulas. Lecture Notes in Statistics, vol. 139 1999 Springer New York
9. Sklar, A., 1959. Fonctions de répartition à n dimensions et leurs marges. Publications de l'Institut de Statistique de l'Université de Paris 8, 229-231.