Geodesic
Asymptotics of two-dimensional copulas
Mathematica Applicanda, Tome 31 (2003) no. 45/04, pp. 78-89.

Voir la notice de l'article provenant de la source Annales Societatis Mathematicae Polonae Series

The paper deals with simple properties of two-dimensional copulas. The focus is on particular cases when a copula has a homogeneous expansion of the lower tail. Properties of the corresponding main part are studied. For particular cases of copulas the main parts are calculated and possible applications in modelling risk are discussed.
DOI : 10.14708/ma.v31i45/04.1913
Classification : 962H05 (26B25 62E20)
Mots-clés : Two-dimensional copulas, homogeneous expansion, modelling risk 
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P. Jaworski. Asymptotics of two-dimensional copulas. Mathematica Applicanda, Tome 31 (2003) no. 45/04, pp.  78-89. doi : 10.14708/ma.v31i45/04.1913. http://geodesic.mathdoc.fr/articles/10.14708/ma.v31i45/04.1913/

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