A New Parametric Family of Non-Archimedean Copulas

C. R. Palmero, J. P. RINCÓN-ZAPATERO

In the framework of copula theory, the construction of new non-Archimedean copulas has become an important line of research, particularly when aiming to capture dependence structures.
Consequently, the development of novel non-Archimedean copulas contributes to a broader and more versatile toolkit for accurately describing intricate stochastic relationships.
In line with the aforementioned points, we introduce a new parametric family of non-Archimedean copulas that admits the "Fréchet--Hoeffding upper bound", as a limiting case.
For this parametric family, we also derive the lower and upper tail coefficients, which are given by 2 - 2^{1/a}, and 0, respectively.

Palabras clave: Copula Lower and Upper Tail Coefficients.

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