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A class of multivariate copulas with bivariate Fréchet marginal copulas |
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| Authors: | Jingping Yang Yongcheng Qi Ruodu Wang |
| Institution: | aLMAM, Department of Financial Mathematics, Peking University, Beijing, 100871, China;bDepartment of Mathematics and Statistics, University of Minnesota Duluth, Duluth, MN 55812, USA;cDepartment of Financial Mathematics, Peking University, Beijing, 100871, China |
| Abstract: | In this paper, we present a class of multivariate copulas whose two-dimensional marginals belong to the family of bivariate Fréchet copulas. The coordinates of a random vector distributed as one of these copulas are conditionally independent. We prove that these multivariate copulas are uniquely determined by their two-dimensional marginal copulas. Some other properties for these multivariate copulas are discussed as well. Two applications of these copulas in actuarial science are given. |
| Keywords: | Multivariate copulas Bivariate Fré chet copulas Conditional independence Marginal copulas |
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