Shock models with dependence and asymmetric linkages

Abstract This paper introduces a new class of copulas and shows its relevance for applications. In particular, a stochastic interpretation in terms of a system of dependence components affected by a global shock is given. As a main feature of the model, the global shock has an opposite effect on the different components of the system. Copulas generated by this mechanism are characterized in the bivariate case and their main properties are illustrated. Connections with concepts like semilinear copulas and conic aggregation functions are also highlighted. Moreover, a high dimensional extension is presented.

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