Document Type
Article
Source of Publication
Risks
Publication Date
11-1-2022
Abstract
This paper explores the properties of a family of bivariate copulas based on a new approach using the counter-monotonic shock method. The resulting copula covers the full range of negative dependence induced by one parameter. Expressions for the copula and density are derived and many theoretical properties are examined thoroughly, including explicit expressions for prominent measures of dependence, namely Spearman’s rho, Kendall’s tau and Blomqvist’s beta. The convexity properties of this copula are presented, together with explicit expressions of the mixed moments. Estimation of the dependence parameter using the method of moments is considered, then a simulation study is carried out to evaluate the performance of the suggested estimator. Finally, an application of the proposed copula is illustrated by means of a real data set on air quality in New York City.
DOI Link
ISSN
Publisher
MDPI AG
Volume
10
Issue
11
Disciplines
Physical Sciences and Mathematics
Keywords
bivariate copula, counter-monotonic, financial risk, negative dependence, singularity, statistical modeling
Scopus ID
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
El Ktaibi, Farid; Bentoumi, Rachid; Sottocornola, Nicola; and Mesfioui, Mhamed, "Bivariate Copulas Based on Counter-Monotonic Shock Method" (2022). All Works. 5481.
https://zuscholars.zu.ac.ae/works/5481
Indexed in Scopus
yes
Open Access
yes
Open Access Type
Gold: This publication is openly available in an open access journal/series