Title: On Archimax copulas and dependence measures
Authors: Piotr Jaworski - University of Warsaw (Poland) [presenting]
Abstract: The dependence measures, like for example Kendall tau, Spearman rho, Blomquist beta or tail dependence coefficients, are the main numerical characterization of Bivariate Archimax Copulas, a broad class of copulas containing Archimedean, Extreme Value and Conic Copulas. Such copulas are determined by a generator of an Archimedean copula and a function on the unit segment, called a Pickands dependence function, which is convex and comprised between two bounds. We identify the smallest possible compact sets containing the graphs of all Pickands dependence functions whose corresponding Archimax Copulas with given generator have fixed values of a dependence measure. We also provide the bounds for such sets of copulas.