Journal
INSURANCE MATHEMATICS & ECONOMICS
Volume 42, Issue 2, Pages 473-483Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.insmatheco.2006.11.011
Keywords
bounds; copulas; diagonal sections; distribution functions; quasi-copulas
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We study a method, which we call a copula (or quasi-copula) diagonal splice, for creating new functions by joining portions of two copulas (or quasi-copulas) with a common diagonal section. The diagonal splice of two quasi-copulas is always a quasi-copula, and we find a necessary and sufficient condition for the diagonal splice of two copulas to be a copula. Applications of this method include the construction of absolutely continuous asymmetric copulas with a prescribed diagonal section, and determining the best-possible upper bound on the set of copulas with a particular type of diagonal section. Several examples illustrate our results. (c) 2006 Elsevier B.V. All rights reserved.
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