Distorted Mix Method for constructing copulas with tail dependence

Distorted copulas: constructions and tail dependence

Given a copula C, we examine under which conditions on an order isomorphism ψ of [0, 1], the distortion Cψ : [0, 1] → [0, 1], Cψ(x, y) = ψ(C(ψ−1(x)), ψ−1(y)), is again a copula. In particular, when the copula C is totally positive of order 2, we give a sufficient condition on ψ which ensures that any distortion of C by means of ψ is again a copula. The presented results allow us to introduce in...

Dynamic dependence ordering for Archimedean copulas and distorted copulas

This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i. e. given remaining lifetimes X , to compare the dependence of X given X > t, and X given X > s, where s > t. More precisely, analytical results will be obtained in the case the survival copula of X is either Archimedean or a distorted copula. The case of a frailty based mode...

Copulas, diagonals, and tail dependence

We present some known and novel aspects about bivariate copulas with prescribed diagonal section by highlighting their use in the description of the tail dependence. Moreover, we present the tail concentration function (which depends on the diagonal section of a copula) as a tool to give a description of tail dependence at finite scale. The tail concentration function is hence used to introduce...

Tail dependence functions and vine copulas

Tail dependence and conditional tail dependence functions describe, respectively, the tail probabilities and conditional tail probabilities of a copula at various relative scales. The properties as well as the interplay of these two functions are established based upon their homogeneous structures. The extremal dependence of a copula, as described by its extreme value copulas, is shown to be co...

Modeling tail dependence using copulas — literature review