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Simulating from a Family of Generalized Archimedean Copulas

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Topics in Statistical Simulation

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 114))

Abstract

We present a generalized class of bivariate Archimedean copulas. Such a class enlarges the family of Archimedean copulas since it allows the presence of a singular component along the main diagonal of the copula domain. Sampling procedures are derived in order to enhance practical application. The investigations are expected to be useful in bivariate models of lifetimes and in credit risk models of joint defaults.

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Acknowledgements

The author thanks Sabrina Mulinacci (University of Bologna) for useful comments and discussions about the topic of this manuscript. The author acknowledges the support of Free University of Bozen-Bolzano, via the project MODEX.

Author information

Authors and Affiliations

  1. Faculty of Economics and Management, Free University of Bozen-Bolzano, Bolzano, Italy

    Fabrizio Durante

Authors
  1. Fabrizio Durante
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Correspondence to Fabrizio Durante .

Editor information

Editors and Affiliations

  1. St.Petersburg State University, St.Petersburg, Russia

    V.B. Melas

  2. University of Bologna, Rimini, Italy

    Stefania Mignani

  3. University of Bologna, Rimini, Italy

    Paola Monari

  4. University of Padova, Padova, Italy

    Luigi Salmaso

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Durante, F. (2014). Simulating from a Family of Generalized Archimedean Copulas. In: Melas, V., Mignani, S., Monari, P., Salmaso, L. (eds) Topics in Statistical Simulation. Springer Proceedings in Mathematics & Statistics, vol 114. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-2104-1_14

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