Solution to an open problem about a transformation on the space of copulas

Fabrizio Durante 1 , Juan Fernández-Sánchez 2 ,  and Wolfgang Trutschnig 3
  • 1 Faculty of Economics and Management, Free University of Bozen-Bolzano, I- 39100 Bolzano, Italy
  • 2 Grupo de Investigación de Análisis Matemático, Universidad de Almería, La Cañada de San Urbano, Almería, Spain
  • 3 Department for Mathematics, University of Salzburg, Salzburg, Austria

Abstract

We solve a recent open problem about a new transformation mapping the set of copulas into itself. The obtained mapping is characterized in algebraic terms and some limit results are proved.

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Dependence Modeling aims to provide a medium for exchanging results and ideas in the area of multivariate dependence modeling. Topics include Copula methods, environmental sciences, estimation and goodness-of-fit tests, extreme-value theory, limit laws, mass transportations, measures of association, multivariate distributions and tests, quantitative risk management, risk assessment, risk models, risk measures and stochastic orders and time series.

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