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...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
De Gruyter
2020-10-01
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Series: | Dependence Modeling |
Subjects: | |
Online Access: | https://doi.org/10.1515/demo-2020-0011 |