Constructing hierarchical Archimedean copulas with Lévy subordinators

Christian Hering; Marius Hofert; Jan Frederik Mai; Matthias Scherer

doi:10.1016/j.jmva.2009.10.005

Constructing hierarchical Archimedean copulas with Lévy subordinators

Christian Hering
, Marius Hofert
, Jan Frederik Mai
, Matthias Scherer

Associate Professorship of Risk and Insurance

University of Ulm
Technical University of Munich

Research output: Contribution to journal › Article › peer-review

47 Scopus citations

Abstract

A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas.

Original language	English
Pages (from-to)	1428-1433
Number of pages	6
Journal	Journal of Multivariate Analysis
Volume	101
Issue number	6
DOIs	https://doi.org/10.1016/j.jmva.2009.10.005
State	Published - Jul 2010

Keywords

Hierarchical Archimedean copulas
Lévy subordinators
Sampling algorithm

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10.1016/j.jmva.2009.10.005

Cite this

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abstract = "A probabilistic interpretation for hierarchical Archimedean copulas based on L{\'e}vy subordinators is given. Independent exponential random variables are divided by group-specific L{\'e}vy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas.",

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AU - Mai, Jan Frederik

AU - Scherer, Matthias

PY - 2010/7

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AB - A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas.

KW - Hierarchical Archimedean copulas

KW - Lévy subordinators

KW - Sampling algorithm

UR - https://www.scopus.com/pages/publications/77949658105

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DO - 10.1016/j.jmva.2009.10.005

M3 - Article

AN - SCOPUS:77949658105

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JF - Journal of Multivariate Analysis

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ER -

Constructing hierarchical Archimedean copulas with Lévy subordinators

Abstract

Keywords

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