Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and independence

Insurance: Mathematics and Economics

Volumn 39, Issue 2, 2006, Pages 267-284

  Yang, Jingping ^a   Cheng, Shihong ^a   Zhang, Lihong ^b  

^a PEKING UNIVERSITY   (China)

^b Tsinghua University   (China)

Author keywords

Comonotonic factor; Copula decomposition; Countermonotonic factor; Independent factor

Indexed keywords

EID: 33747760906     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2006.02.015     Document Type: Article

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