On Some Bivariate Copula Transformations

Phuong Le, Nguyen Kim Thai Ngoc

Abstract


Copulas are known as a fundamental tool to model dependence phenomena and have various applications in finance and risk management. In this paper, we propose a new class of copulas generated by means of function compositions of each two in three well-known bivariate copulas: the independence copula, the Fr\'{e}chet-Hoeffding lower bound, and the Fr\'{e}chet-Hoeffding upper bound. As consequences, we classify all

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The Thai Journal of Mathematics organized and supported by The Mathematical Association of Thailand and Thailand Research Council and the Center for Promotion of Mathematical Research of Thailand (CEPMART).

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|ISSN 1686-0209|