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Negative dependence concept in copulas and the marginal free herd behavior index

Title
Negative dependence concept in copulas and the marginal free herd behavior index
Authors
Ahn, Jae Youn
Ewha Authors
안재윤
SCOPUS Author ID
안재윤scopus
Issue Date
2015
Journal Title
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
ISSN
0377-0427JCR Link1879-1778JCR Link
Citation
vol. 288, pp. 304 - 322
Keywords
ComonotonicityNegative extreme dependenceHerd behavior index
Publisher
ELSEVIER SCIENCE BV
Indexed
SCI; SCIE; SCOPUS WOS scopus
Abstract
We provide a set of copulas that can be interpreted as having the negative extreme dependence. This set of copulas is interesting because it coincides with countermonotonic copula for a bivariate case, and more importantly, is shown to be minimal in concordance ordering in the sense that no copula exists which is strictly smaller than the given copula outside the proposed copula set. Admitting the absence of the minimum copula in multivariate dimensions greater than 2, the study of the set of minimal copulas can be important in the investigation of various optimization problems. To demonstrate the importance of the proposed copula set, we provide the variance minimization problem of the aggregated sum with arbitrarily given uniform marginals. As a financial/actuarial application of these copulas, we define a new herd behavior index using weighted Spearman's rho, and determine the sharp lower bound of the index using the proposed set of copulas. (C) 2015 Elsevier B.V. All rights reserved.
DOI
10.1016/j.cam.2015.04.020
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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