A0169
Title: Index-mixed copulas
Authors: Marius Hofert - The University of Hong Kong (Hong Kong) [presenting]
Abstract: The class of index-mixed copulas is introduced, and its properties are investigated. Index-mixed copulas are constructed from given base copulas and a random index vector and show a rather remarkable degree of analytical tractability. The analytical form of the copula and, if it exists, its density are derived. As the construction is based on a stochastic representation, sampling algorithms can be given. A particularly interesting feature of index-mixed copulas is that they allow one to provide a revealing interpretation of the well-known family of Eyraud-Farlie-Gumbel-Morgenstern (EFGM) copulas. Through the lens of index-mixing, one can explain why EFGM copulas can only model a limited range of concordance and are tail-independent, for example. Index-mixed copulas do not suffer from such restrictions while remaining analytically tractable.
