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

DOI10.1515/DEMO-2016-0006MaRDI QIDQ324993zbMATH OpenOpenAlexFDO

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

Publication date 17 October 2016

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

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

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)

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.

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Cited in

(10)

• Bayesian estimation of generalized partition of unity copulas
• New copulas based on general partitions-of-unity and their applications to risk management. II.
• On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
• 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
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• Multiple risk factor dependence structures: copulas and related properties

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• QRM

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