Copula method can explain the dependent function or connection function which connects the joint distribution and the univariate marginal distribution. Therefore, copula has recently become a most significant important tool in the financial field of risk management, portfolio allocation, and derivative asset pricing. However, it leads to a possibilistic uncertainty in estimating the parameters of copulas because of insufficient historical data, imprecise parameter estimation, and uncertain knowledge of future prices. This paper proposes a fuzzy copula model via Kullback-Leibler (KL) divergence...
