Lorenz-generated bivariate Archimedean copulas

A novel generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a non-negative random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and tail risk. In this paper, these curves are seen...

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Bibliographic Details
Main Authors: Fontanari Andrea, Cirillo Pasquale, Oosterlee Cornelis W.
Format: Article
Language:English
Published: De Gruyter 2020-10-01
Series:Dependence Modeling
Subjects:
Online Access:https://doi.org/10.1515/demo-2020-0011