New copulas based on general partitions-of-unity and their applications to risk management. II.

DOI10.1515/demo-2017-0014zbMath1381.62075arXiv1709.07682OpenAlexW3124685085MaRDI QIDQ1696998

Andreas Mändle, Dietmar Pfeifer, Olena Ragulina

Publication date: 15 February 2018

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.07682

zbMATH Keywords

asymmetrycopulastail dependencepartition-of-unity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Contingency tables (62H17)

Related Items (6)

Bayesian estimation of generalized partition of unity copulas ⋮ Checkerboard copula defined by sums of random variables ⋮ New copulas based on general partitions-of-unity. III: The continuous case ⋮ Joint modelling of the body and tail of bivariate data ⋮ Multivariate multiple test procedures based on nonparametric copula estimation ⋮ Generating unfavourable VaR scenarios under Solvency II with patchwork copulas

Uses Software

• QRM

Cites Work

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• New copulas based on general partitions-of-unity and their applications to risk management
• Multivariate shuffles and approximation of copulas
• An introduction to copulas.
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• Computation of sharp bounds on the distribution of a function of dependent risks
• Heavy Tails and Copulas

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