El Ktaibi, Farid; Bentoumi, Rachid; Sottocornola, Nicola; … - In: Risks : open access journal 10 (2022) 11, pp. 1-20
This paper explores the properties of a family of bivariate copulas based on a new approach using the counter-monotonic shock method. The resulting copula covers the full range of negative dependence induced by one parameter. Expressions for the copula and density are derived and many...