Checkerboard copula defined by sums of random variables

DOI10.1515/DEMO-2020-0004MaRDI QIDQ2175176zbMATH OpenOpenAlexFDO

Authors Romel Salam, Stan Uryasev, Victor Kuzmenko

Publication date 28 April 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2020-0004

zbMATH Keywords

entropymultivariate distributionscheckerboard copulaoptimization procedurecase studyportfolio safeguardPSGSpearman rho rank correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Convex programming (90C25) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10)

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Cites work

• scientific article; zbMATH DE number 3748742 (Why is no real title available?)
• An introduction to copulas.
• CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS
• CVaR (superquantile) norm: stochastic case
• Convex analysis and nonlinear optimization. Theory and examples.
• Copulas with maximum entropy
• Matching the grade correlation coefficient using a copula with maximum disorder
• Modelling and simulation of volumetric rainfall for a catchment in the Murray-Darling basin
• New copulas based on general partitions-of-unity and their applications to risk management
• New copulas based on general partitions-of-unity and their applications to risk management. II.

Cited in

(4)

• On the exploration of regression dependence structures in multidimensional contingency tables with ordinal response variables
• Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables
• Decomposition and graphical correspondence analysis of checkerboard copulas
• CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS

Describes a project that uses

Uses Software

• PSG

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