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AbstractWe study the impact of certain transformations within theclass of Archimedean copulas. We give some admissibilityconditions for these transformations, and define some equivalenceclasses for both transformations and generators ofArchimedean copulas. We extend the r-fold composition ofthe...
AbstractNelsen et al.  find bounds for bivariate distribution functions when there are constraints on the values of its quartiles. Tankov  generalizes this work by giving explicit expressionsfor the best upper and lower bounds for a bivariatecopula when its values on a compact subset of...
AbstractWhile it is reasonable to assume that convex combinationson the level of random variables lead to a reduction of risk(diversification effect), this is no more true on the level of distributions.In the latter case, taking convex combinations correspondsto adding a risk factor. Hence,...
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