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dc.date.accessioned2013-03-12T08:20:22Z
dc.date.available2013-03-12T08:20:22Z
dc.date.issued2007en_US
dc.date.submitted2009-11-13en_US
dc.identifier.urihttp://hdl.handle.net/10852/10525
dc.description.abstractThis paper introduces the concept of the utility copula, a function which incorporates the dependence information between (or among) variables of a utility function. A utility copula is a natural extension of the ordinary (probability) copula and the Lévy copula, but relates to a different domain, typically bounded from below in its variables. Thus the utility measure does not go to zero at minus infinity, as in the case of a probability measure, nor to zero at plus infinity, as in the case of a Lévy measure. This qualification requires the non-trivial implementation of the Fundamental Theorem of the Calculus for valuation of the utility copula. Accordingly, issues arise concerning the equivalence of restricted vs. marginal utility functions, leading to recognition of the distinction between regular and irregular utility functions, defined within. The development proceeds to examples of utility copulas, and further to the construction of bivariate (or multivariate) utility functions from a utility copula and marginal utility functions. Further, the paper presents specific tests of necessity and sufficiency on candidate utility copulas, drawn from the spaces of ordinary and Lévy copulas, and provided with marginal utility functions, to assure that a constructed bivariate function be a utility function. Suggestions for applications, and conclusions, follow.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.rights© The Author(s) (2007). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society.
dc.titleUTILITY COPULASen_US
dc.typeResearch reporten_US
dc.date.updated2009-11-13en_US
dc.rights.holderCopyright 2007 The Author(s)
dc.creator.authorKettler, Paul C.en_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-23488en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo96826en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10525/1/pm20-07.pdf


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