Section: ArticlesTitle: Archimedean copulas derived from utility functions / Jaap SpreeuwAuthor: Spreeuw, JaapNotes: Sumario: The inverse of the (additive) generator of an Archimedean copula is a strictly decreasing and convex function, while utility functions (applying to risk averse decision makers) are nondecreasing and concave. This provides a basis for deriving an inverse generator of an Archimedean copula from a utility function. If we derive the inverse of the generator from the utility function, there is a link between the magnitude of measures of risk attitude (like the very common ArrowPratt coefficient of absolute risk aversion) and the strength of dependence featured by the corresponding Archimedean copula. Some new copula families are derived, and their properties are discussed. A numerical example about modeling dependence of coupled lives is included.Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/11/2014 Volumen 59 Número 1 - noviembre 2014 Other categories: 6Rights: In Copyright (InC)Referencias externas:
