Checkerboard copula defined by sums of random variables

DOI10.1515/DEMO-2020-0004zbMATH Open1437.62181OpenAlexW3016556388MaRDI QIDQ2175176FDOQ2175176

Authors: Romel Salam, Stan Uryasev, Victor Kuzmenko 

Publication date: 28 April 2020

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

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

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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)

Cites Work

• An introduction to copulas.
• CVaR (superquantile) norm: stochastic case
• Convex analysis and nonlinear optimization. Theory and examples.
• Title not available (Why is that?)
• New copulas based on general partitions-of-unity and their applications to risk management
• Copulas with maximum entropy
• Matching the grade correlation coefficient using a copula with maximum disorder
• CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS
• New copulas based on general partitions-of-unity and their applications to risk management. II.
• MODELLING AND SIMULATION OF VOLUMETRIC RAINFALL FOR A CATCHMENT IN THE MURRAY–DARLING BASIN

Cited In (2)

• On the exploration of regression dependence structures in multidimensional contingency tables with ordinal response variables
• CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS

Uses Software

• PSG

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