Exchangeable FGM copulas
@inproceedings{BlierWong2022ExchangeableFC, title={Exchangeable FGM copulas}, author={Christopher BlierWong and H{\'e}l{\`e}ne Cossette and {\'E}tienne Marceau}, year={2022} }
Copulas are a powerful tool to model dependence between the components of a random vector. One wellknown class of copulas when working in two dimensions is the FarlieGumbelMorgenstern (FGM) copula since their simple analytic shape enables closedform solutions to many problems in applied probability. However, the classical deﬁnition of highdimensional FGM copula does not enable a straightforward understanding of the eﬀect of the copula parameters on the dependence, nor a geometric…
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Risk aggregation with FGM copulas
 Computer Science
 2022
This paper builds on two novel representations of FGM copulas based on symmetric multivariate Bernoulli distributions and order statistics, providing a new perspective on risk aggregation with FGMCopulas and risksharing and capital allocation.
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