Copulae of capacities on product spaces
Marco Scarsini · Lecture notes-monograph series · 1996
We consider a nonadditive probability measure (capacity) on a product space and we define the distribution function associated to it.We show that, under suitable conditions on the capacity, its distribution function has many of the properties of the distribution functions of finitely additive probability measures.In particular, if the capacity is convex, then there exists a function that links the multivariate distribution function to its marginals.This function enjoys many of the properties of a copula.