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

DOI10.1515/DEMO-2019-0009MaRDI QIDQ2178937zbMATH OpenOpenAlexFDO

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

Publication date 12 May 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 3656971 (Why is no real title available?)
• scientific article; zbMATH DE number 1268810 (Why is no real title available?)
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• From Bernstein polynomials to Bernstein copulas
• Loss models. From data to decisions
• Multivariate multiple test procedures based on nonparametric copula estimation
• 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.
• Quantitative risk management. Concepts, techniques and tools

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

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• QRM

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