Characterizations of bivariate conic, extreme value, and Archimax copulas

Abstract

Based on a general construction method by means of bivariate ultramodular copulas we construct, for particular settings, special bivariate conic, extreme value, and Archimax copulas. We also show that the sets of copulas obtained in this way are dense in the sets of all conic, extreme value, and Archimax copulas, respectively.

Keywords

• ultramodular copula
• conic copula
• extreme value copula
• archimax copula
• primary 62h05
• secondary 60e05
• 26b25