A multivariate version of Williamson’s theorem,l1-symmetric survival functions, and generalized Archimedean copulas

Kurzfassung/Abstract

Williamson’s integral representation of n-monotone functions on the half-line is generalized to several dimensions. This leads to a characterization of multivariate survival functions with multiply l1-symmetry. We then introduce a new class of generalized Archimedean copulas, where in contrast to nested Archimedean copulas no extra compatibility conditions for their generators are required.