A class of multivariate copulas with bivariate Frechet marginal copulas

作者：Yang Jingping^*; Qi Yongcheng; Wang Ruodu

来源：Insurance: Mathematics and Economics , 2009, 45(1): 139-147.

DOI：10.1016/j.insmatheco.2009.05.007

• Multivariate copulas
• Bivariate Frechet copulas
• Conditional independence
• Marginal copulas

in this paper, we present a class of multivariate copulas whose two-dimensional marginals belong to the family of bivariate Frechet 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.

• 出版日期2009-8
• 单位北京大学