B1676
Title: Geometric-extreme stable distributions and Archimedean copulas
Authors: Violetta Piperigou - University of Patras (Greece) [presenting]
Abstract: A family of copulas is introduced by considering the joint distribution of the maximum (and/or the minimum) of two random samples of the same random number of continuous random variables. This family has as a parameter the Laplace transform of a non-negative random variable and in addition a real-valued parameter. It can be seen that the marginal distributions of this joint distribution is an extension of the geometric-extreme stable distributions and also that the family of Archimedean Copulas, with the generator of the inverse of a Laplace transform, can be obtained as a limiting case of the real-valued parameter of the new family of copulas. Various properties of this family are discussed and a special case is studied in detail.
