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A Biconvex Form for Copulas

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  • Fuchs Sebastian

    (Lehrstuhl für Versicherungsmathematik, Technische Universität Dresden)

Abstract

We study the integration of a copula with respect to the probability measure generated by another copula. To this end, we consider the map [. , .] : C × C → R given by

Suggested Citation

  • Fuchs Sebastian, 2016. "A Biconvex Form for Copulas," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-13, February.
    • Handle: RePEc:vrs:demode:v:4:y:2016:i:1:p:13:n:3
    DOI: 10.1515/demo-2016-0003
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    References listed on IDEAS

    as
    1. Marco Scarsini, 1984. "On measures of concordance," Post-Print hal-00542380, HAL.
    2. M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 789-806, December.
    3. Marco Scarsini, 1984. "Strong measures of concordance and convergence in probability," Post-Print hal-00542387, HAL.
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