Extreme generators of shock induced copulas

作者：

Highlights：

• We introduce extreme copulas in each class of shock induced copulas (s.a. Marshall-Olkin).

• Extreme copulas are dense in each of these classes, while shuffles of M are everywhere dense.

• Statistical interpretation of an extreme copula is that the shocks inducing it have disjoint supports.

摘要

•We introduce extreme copulas in each class of shock induced copulas (s.a. Marshall-Olkin).•Extreme copulas are dense in each of these classes, while shuffles of M are everywhere dense.•Statistical interpretation of an extreme copula is that the shocks inducing it have disjoint supports.

论文关键词：Copula,Dependence concepts,Shock models,Extreme points

论文评审过程：Received 17 November 2021, Revised 27 April 2022, Accepted 28 April 2022, Available online 15 May 2022, Version of Record 15 May 2022.

论文官网地址：https://doi.org/10.1016/j.amc.2022.127214