Yang, Xipei; Frees, Edward W.; Zhang, Zhengjun - In: Insurance: Mathematics and Economics 49 (2011) 2, pp. 265-284
This work proposes a new copula class that we call the MGB2 copula. The new copula originates from extracting the dependence function of the multivariate GB2 distribution (MGB2) whose marginals follow the univariate generalized beta distribution of the second kind (GB2). The MGB2 copula can...
