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

DOI10.1515/DEMO-2016-0006zbMATH Open1349.62177arXiv1505.00288OpenAlexW3098140061MaRDI QIDQ324993FDOQ324993

Hervé Awoumlac Tsatedem, Andreas Mändle, Dietmar Pfeifer, Côme Girschig

Publication date: 17 October 2016

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

Abstract: We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows - in contrast to finite partition-of-unity copulas - for tail-dependence as well as for asymmetry. A possibility of fitting such copulas to real data from quantitative risk management is also pointed out.

Full work available at URL: https://arxiv.org/abs/1505.00288

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zbMATH Keywords

asymmetrytail dependencecopulaspartition-of-unity

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)

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Cited In (7)

• 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. III: The continuous case
• Decomposition and graphical correspondence analysis of checkerboard copulas
• Checkerboard copula defined by sums of random variables
• Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
• Modelling the association in bivariate survival data by using a Bernstein copula

Uses Software

• QRM

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