Archimedean copulas derived from utility functions

The inverse of the (additive) generator of an Archimedean copula is a strictly decreasing and convex function, while utility functions (applying to risk averse decision makers) are nondecreasing and concave. This provides a basis for deriving an inverse generator of an Archimedean copula from a utility function. If we derive the inverse of the generator from the utility function, there is a link between the magnitude of measures of risk attitude (like the very common Arrow-Pratt coefficient of absolute risk aversion) and the strength of dependence featured by the corresponding Archimedean copula. Some new copula families are derived, and their properties are discussed. A numerical example about modeling dependence of coupled lives is included.