Question: The probability density function for an exponential distribution is e x
The probability density function for an exponential distribution is e−x where x is the value of the variable and is a parameter. The cumulative probability distribution is 1− e−x. Suppose that two variables V1 and V2 have exponential distributions with parameters of 1.0 and 2.0, respectively. Use a Gaussian copula to define the correlation structure between V1 and V2 with a copula correlation of –0.2. Produce a table similar to Table 11.3 using values of 0.25, 0.5, 0.75, 1, 1.25, and 1.5 for V1 and V2. A spreadsheet for calculating the cumulative bivariate normal distribution is on the author’s website: www-2.rotman.utoronto.ca/∼hul/riskman.
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