A Class of Multivariate Copulas with Bivariate Frechet Marginal Copulas
Jingping Yang
Department of Financial Mathematics, Peking University

In this talk, we will introduce one class of multivariate copulas. The two-dimensional marginals  of the copulas in the class belong to the family of bivariate Frechet copulas. The coordinates of a random vector distributed as one of these copulas are conditionally independent. Under our framework these multivariate copulas are uniquely determined by their two-dimensional marginal copulas. Some other properties for these multivariate copulas will be discussed as well. Two applications of these copulas in actuarial science will be given.

报告人简介：

杨静平，北京大学数学学院金融数学系教授，博士生导师。研究方向为精算学与风险管理、信用风险模型及应用、极限定理和极值理论在保险和金融中的应用。作者1993年开始从事精算方向的教学和科研工作，编写的教材有《寿险精算基础》（北京大学出版社，2002），并在国内外发表数十篇精算学和信用风险方面的论文。