From Inequality to Extremes and Back: A Lorenz Representation of the Pickands Dependence Function

We establish a correspondence between Lorenz curves and Pickands dependence functions, thereby reframing the construction of any bivariate extreme-value copula as an inequality problem. We discuss the conditions under which a Lorenz curve generates a closed-form Pickands model, considerably expandin...

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Bibliographic Details
Main Authors: Pasquale Cirillo, Andrea Fontanari
Format: Article
Language:English
Published: MDPI AG 2025-06-01
Series:Mathematics
Subjects:
Online Access:https://www.mdpi.com/2227-7390/13/13/2047
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