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A class of multivariate copulas with bivariate Fréchet marginal copulas. (English) Zbl 1231.91253
Summary: We present a class of multivariate copulas whose two-dimensional marginals belong to the family of bivariate Fréchet copulas. The coordinates of a random vector distributed as one of these copulas are conditionally independent. We prove that these multivariate copulas are uniquely determined by their two-dimensional marginal copulas. Some other properties for these multivariate copulas are discussed as well. Two applications of these copulas in actuarial science are given.

91B30 Risk theory, insurance (MSC2010)
62H05 Characterization and structure theory for multivariate probability distributions; copulas
Full Text: DOI
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