Bounds on integrals with respect to multivariate copulas

DOI10.1515/DEMO-2016-0016MaRDI QIDQ727659zbMATH OpenOpenAlexFDO

Authors Michael Preischl

Publication date 20 December 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/1606.08661

zbMATH Keywords

copulascredit riskdependence measurelinear assignment problems

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Statistical methods; risk measures (91G70)

Abstract: Finding upper and lower bounds to integrals with respect to copulas is a quite prominent problem in applied probability. In their 2014 paper, Hofer and Iaco showed how particular two dimensional copulas are related to optimal solutions of the two dimensional assignment problem. Using this, they managed to approximate integrals with respect to two dimensional copulas. In this paper, we will further illuminate this connection, extend it to d-dimensional copulas and therefore generalize the method from Hofer and Iaco to arbitrary dimensions. We also provide convergence statements. As an example, we consider three dimensional dependence measures.

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Cited in

(6)

• Improved Fréchet-Hoeffding bounds on d-copulas and applications in model-free finance
• Universal integrals based on copulas
• On minimal copulas under the concordance order
• Optimal bounds for integrals with respect to copulas and applications
• scientific article; zbMATH DE number 5582282 (Why is no real title available?)
• Some Integration-by-Parts Formulas Involving 2-Copulas

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