A note on Bertino and Fredricks–Nelsen copulas

Bertino and Fredricks–Nelsen copulas are the most prominent examples of copulas which are constructed from a diagonal. For a given diagonal, it is known that the Bertino copula is dominated by the Fredricks–Nelsen copula. In this paper, we show that these copulas are either distinct or both equal to the upper Fréchet–Hoeffding bound. We also prove known and new representations of Spearman’s rho, Gini’s gamma and Kendall’s tau for Bertino and Fredricks–Nelsen copulas in terms of their diagonal, and we show that, under any convex–linear measure of concordance or Kendall’s tau, the range of the collection of all copulas having the same diagonal is bounded by the values of the respective Bertino and Fredricks–Nelsen copulas.

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Publication Details

Journal
Fuzzy Sets and Systems
Published
2026-02-27
DOI
https://doi.org/10.1016/j.fss.2026.109846
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
0.00

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article

A note on Bertino and Fredricks–Nelsen copulas

Klaus D. Schmidt, Sebastian Fuchs, Yuping Wang
Fuzzy Sets and Systems
Financial Risk and Volatility Modeling
article

A note on Bertino and Fredricks–Nelsen copulas

Klaus D. Schmidt, Sebastian Fuchs, Yuping Wang
article en

Abstract

Bertino and Fredricks–Nelsen copulas are the most prominent examples of copulas which are constructed from a diagonal. For a given diagonal, it is known that the Bertino copula is dominated by the Fredricks–Nelsen copula. In this paper, we show that these copulas are either distinct or both equal to the upper Fréchet–Hoeffding bound. We also prove known and new representations of Spearman’s rho, Gini’s gamma and Kendall’s tau for Bertino and Fredricks–Nelsen copulas in terms of their diagonal, and we show that, under any convex–linear measure of concordance or Kendall’s tau, the range of the collection of all copulas having the same diagonal is bounded by the values of the respective Bertino and Fredricks–Nelsen copulas.

Fuzzy Sets and SystemsVol. 534
Technische Hochschule Mannheim (DE), University of Mannheim (DE), University of Salzburg (AT), Fachhochschule Salzburg (AT), Pädagogische Hochschule Salzburg (AT)
Austrian Science Fund
Openalex Percentile: Top 45%
Financial Risk and Volatility Modeling
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