Joint characteristic functions construction via copulas |
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Authors: | Janez Komelj Mihael Perman |
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Institution: | a Sava Reinsurance Company d.d., Dunajska cesta 56, SI-1000 Ljubljana, Sloveniab Institute for Mathematics, Physics and Mechanics, University of Ljubljana, Jadranska 19, SI-1000 Ljubljana, Slovenia |
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Abstract: | When modelling dependent risks it is important to be able to generate joint distributions with given marginals. One of the ways which may be useful in connection with using the Fast Fourier Transform is to construct joint characteristic functions from marginal characteristic functions. In this paper a class of n-dimensional continuous copulas is presented which in turn lead to a simple construction of joint characteristic functions with given marginal characteristic functions. Bounds on various measures of correlation are also given. |
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Keywords: | C16 C46 |
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