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New copulas based on general partitions-of-unity (part III) — the continuous case

New copulas based on general partitions-of-unity (part III) — the continuous case AbstractIn 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

New copulas based on general partitions-of-unity (part III) — the continuous case

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Publisher
de Gruyter
Copyright
© 2019 Dietmar Pfeifer et al., published by De Gruyter
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2019-0009
Publisher site
See Article on Publisher Site

Abstract

AbstractIn 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.

Journal

Dependence Modelingde Gruyter

Published: Jan 1, 2019

References