Title: On extreme biconic and semilinear copulas
Authors: Fabrizio Durante - University of Salento (Italy) [presenting]
Juan Fernandez Sanchez - Universidad de Almeria (Spain)
Manuel Ubeda Flores - University of Almeria (Spain)
Abstract: Several optimization problems arising in the study of copula-based stochastic models have motivated the consideration of the extreme points (in the Krein-Milman sense) in the class of copulas. We focus on the extreme elements in the class of semilinear and biconic copulas and provide their characterization. In both cases, a crucial role is played by the diagonal section of the copula, which contains some relevant information about the associated tail dependence.