A class of multivariate copulas with bivariate Fréchet marginal copulas
نویسندگان
چکیده
In this paper, we present a class of multivariate copulas whose two-dimensional marginals belong to the family of bivariate Fréchet copulas. The coordinates of a random vector distributed as one of these copulas are conditionally independent.Weprove that thesemultivariate copulas are uniquely determined by their two-dimensional marginal copulas. Some other properties for thesemultivariate copulas are discussed as well. Two applications of these copulas in actuarial science are given. © 2009 Elsevier B.V. All rights reserved.
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