New copulas based on general partitions-of-unity. III: The continuous case

DOI10.1515/DEMO-2019-0009zbMATH Open1439.62133arXiv1803.00957OpenAlexW2954390306MaRDI QIDQ2178937FDOQ2178937

Authors: Andreas Mändle, O. Yu. Ragulina, Côme Girschig, Dietmar Pfeifer 

Publication date: 12 May 2020

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

Abstract: In this paper we discuss a natural extension of infinite discrete partition-of-unity copulas which were recently introduced in the literature to continuous partition of copulas with possible applications in risk management and other fields. We present a general simple algorithm to generate such copulas on the basis of the empirical copula from high-dimensional data sets. In particular, our constructions also allow for an implementation of positive tail dependence which sometimes is a desirable property of copula modelling, in particular for internal models under Solvency II.

Full work available at URL: https://arxiv.org/abs/1803.00957

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zbMATH Keywords

tail dependencepartition-of-unity copulas

Mathematics Subject Classification ID

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

Cites Work

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• 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.
• Multivariate multiple test procedures based on nonparametric copula estimation

Cited In (5)

• Bayesian estimation of generalized partition of unity copulas
• New copulas based on general partitions-of-unity and their applications to risk management. II.
• New copulas based on general partitions-of-unity and their applications to risk management
• Joint modelling of the body and tail of bivariate data
• Generating unfavourable VaR scenarios under Solvency II with patchwork copulas

Uses Software

• QRM

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