On the singular components of a copula
نویسندگان
چکیده
We analyze copulas with a non-trivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions do not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a non-zero probability, but even provide a copula maximizing the probability of joint default.
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ورودعنوان ژورنال:
- J. Applied Probability
دوره 52 شماره
صفحات -
تاریخ انتشار 2015