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A family of transformed copulas with a singular component

发布日期:2018-11-20点击数:

 

报告人:谢杰华(江西财经大学)

 

 :2018年 11月24日 上午11:00--12:00

 

 :理科楼 LD402

 

 :We present a family of bivariate copulas obtained by transforming a given copula function by means of two increasing functions, named as transformed copula. One distinctive characteristic of the transformed copula is its singular component along the main diagonal. Conditions guaranteeing the transformed function to be a copula function are provided, and several classes of the transformed copulas are given. The singular component along the main diagonal of the transformed copula is verified, and the tail dependence coefficients of transformed copulas are obtained. Some properties of the transformed copula are discussed, such as the total positivity of order 2 and the concordance order. Finally, conditions for the proposed transformation being invariant are given, sufficient conditions guaranteeing that the iterative transformation is a copula function are provided, and the convergence of the iterative transformation is proved under some conditions.

 

报告人简介:谢杰华,江西财经大学统计学院副教授,青年学科带头人。毕业于北京大学数学科学学院金融数学系。主要研究兴趣为金融和保险中的风险理论、风险相依性以及信用风险管理等。在精算学期刊Insurance: Mathematics and Economics、概率论期刊SIAMTheory of Probability and Its Applications以及模糊数学期刊Fuzzy Sets and System等发表多篇学术论文。主持过两项国家自然科学基金项目。

 

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