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The Copula Derived from the SAHARA Utility Function

Spreeuw, J. ORCID: 0000-0002-5838-9085 (2022). The Copula Derived from the SAHARA Utility Function. Risks, 10(7), 133. doi: 10.3390/risks10070133

Abstract

A new Archimedean copula family is presented that was derived from the SAHARA utility function introduced in the economic literature in 2011. Its properties are discussed, and its flexibility and versatility are demonstrated. It is left tail decreasing or right tail increasing, but unlike mainstream Archimedean families, not necessarily stochastically increasing at the same time. It is shown that the family fits very well to a dataset of previously studied coupled lives in the literature.

Publication Type: Article
Additional Information: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Publisher Keywords: copula; Archimedean generator; dependence; coupled lives
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Departments: Bayes Business School > Actuarial Science & Insurance
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