Some alternative bivariate Kumaraswamy-type distributions via copula with application in risk management. (English) Zbl 1426.62153
Summary: In this article we discuss various strategies for constructing bivariate Kumaraswamy distributions via the copula approach. The copula methods and construction studied here are different from those briefly discussed in [B. C. Arnold and the first author, Commun. Stat., Theory Methods 46, No. 18, 9335–9354 (2017; Zbl 1377.60027)]. In this article, bivariate normal copula, AMH (Ali-Mikhail-Haq), and Marshall-Olkin copula generators were assumed to construct bivariate Kumaraswamy models. Additionally, we consider here a few different types of copula generators, which subsume Clayton copula type generators. Various structural properties of the derived copulas including tail dependence, correlation coefficient, and others are discussed.
MSC:
| 62H05 | Characterization and structure theory for multivariate probability distributions; copulas |
| 62H10 | Multivariate distribution of statistics |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
Keywords:
bivariate Kumaraswamy distribution; bivariate Kumaraswamy-type copula; dependence structure; risk managementCitations:
Zbl 1377.60027References:
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