英文标题：
《Negative Dependence Concept in Copulas and the Marginal Free Herd
Behavior Index》
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作者：
Jae Youn Ahn
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最新提交年份：
2015
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英文摘要：
We provide a set of copulas that can be interpreted as having the negative extreme dependence. This set of copulas is interesting because it coincides with countermonotonic copula for a bivariate case, and more importantly, is shown to be minimal in concordance ordering in the sense that no copula exists which is strictly smaller than the given copula outside the proposed copula set. Admitting the absence of the minimum copula in multivariate dimensions greater than 2, the study of the set of minimal copulas can be important in the investigation of various optimization problems. To demonstrate the importance of the proposed copula set, we provide the variance minimization problem of the aggregated sum with arbitrarily given uniform marginals. As a financial/actuarial application of these copulas, we define a new herd behavior index using weighted Spearman\'s rho, and determine the sharp lower bound of the index using the proposed set of copulas.
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中文摘要：
我们提供了一组可以解释为具有负极端依赖性的连接词。这组copula很有趣，因为它与二元情况下的反单调copula一致，而且更重要的是，它在协和排序上是最小的，因为在所提出的copula集之外，不存在严格小于给定copula的copula。承认在大于2的多元维度中不存在最小copula，研究最小copula集在研究各种优化问题时可能很重要。为了证明所提出的copula集的重要性，我们给出了具有任意给定均匀边缘的聚合和的方差最小化问题。作为这些copula的财务/精算应用，我们使用加权Spearman\'s rho定义了一个新的羊群行为指数，并使用所提出的copula集确定指数的尖锐下界。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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