Fang, Y.; Madsen, L. - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 292-301
The Gaussian copula is by far the most popular copula for modeling the association in finance and insurance risk … problems. However, one major drawback of Gaussian copula is that it intrinsically lacks the flexibility of modeling the tail … dependence, which real life data often exhibit. In this paper, we present the modified Gaussian copula, a pseudo-copula model …