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Convex combinations of quadrant dependent copulas
Applied Mathematics Letters (2013)
  • Martin Egozcue
  • Luis Fuentes García
  • Wing Wong
  • Ricardas Zitikis
Abstract

It is well known that quadrant dependent (QD) random variables are also quadrant dependent in expectation (QDE). Recent literature has offered examples rigorously establishing the fact that there are QDE random variables which are not QD. The examples are based on convex combinations of specially chosen QD copulas: one negatively QD and another positively QD. In this paper we establish general results that determine when convex combinations of arbitrary QD copulas give rise to negatively or positively QD/QDE copulas. In addition to being an interesting mathematical exercise, the established results are helpful when modeling insurance and financial portfolios.

Publication Date
February, 2013
Citation Information
Martin Egozcue, Luis Fuentes García, Wing Wong and Ricardas Zitikis. "Convex combinations of quadrant dependent copulas" Applied Mathematics Letters Vol. 26 Iss. 2 (2013)
Available at: http://works.bepress.com/luis_fuentesgarcia/5/