Document Type

Journal Article

Department/Unit

Department of Economics

Title

Convex combinations of quadrant dependent copulas

Language

English

Abstract

It is well known that quadrant dependent (QD) random variables are also quadrant dependent in expectation (QDE). Recent literature has offered examples rigorously establishing the fact that there are QDE random variables which are not QD. The examples are based on convex combinations of specially chosen QD copulas: one negatively QD and another positively QD. In this paper we establish general results that determine when convex combinations of arbitrary QD copulas give rise to negatively or positively QD/QDE copulas. In addition to being an interesting mathematical exercise, the established results are helpful when modeling insurance and financial portfolios. © 2012 Elsevier Ltd. All rights reserved.

Keywords

Convex combination, Copula, Quadrant dependence, Quadrant dependence in expectation

Publication Date

2013

Source Publication Title

Applied Mathematics Letters

Volume

26

Issue

2

Start Page

249

End Page

251

Publisher

Elsevier

DOI

10.1016/j.aml.2012.08.019

Link to Publisher's Edition

http://dx.doi.org/10.1016/j.aml.2012.08.019

ISSN (print)

08939659

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