Composite Bernstein copulas

DOI10.1017/ASB.2015.1MaRDI QIDQ4563745zbMATH OpenOpenAlexFDO

Authors Zhijin Chen, Fang Wang, Ruodu Wang, Jingping Yang

Publication date 4 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2015.1

zbMATH Keywords

composite Bernstein copulacopula constructionnonparametric estimationtail dependence

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Bernstein copulas and composite Bernstein copulas
• Remarks on composite Bernstein copula and its application to credit risk analysis
• Multivariate composite copulas
• Modeling and estimating multivariate dependence structures with the Bernstein copula
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS

Cites work

• An introduction to copulas.
• An order-statistics-based method for constructing multivariate distributions with fixed margin\-als
• Dependence modeling in non-life insurance using the Bernstein copula
• Elliptical copulas: Applicability and limitations.
• EM algorithms for estimating the Bernstein copula
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Large sample behavior of the Bernstein copula estimator
• Online forecast combinations of distributions: worst case bounds
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis

Cited in

(13)

• Remarks on composite Bernstein copula and its application to credit risk analysis
• Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks
• Modeling and estimating multivariate dependence structures with the Bernstein copula
• Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives
• From Bernstein polynomials to Bernstein copulas
• New copulas based on general partitions-of-unity and their applications to risk management
• Dependence modeling in non-life insurance using the Bernstein copula
• Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
• Statistical arbitrage with vine copulas
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• Multivariate composite copulas
• Bernstein copulas and composite Bernstein copulas
• Bernstein copula characteristic function

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Uses Software

• QRM

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