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

• Autorzy: Dietmar Pfeifer , Hervé Awoumlac Tsatedem , Andreas Mändle , Côme Girschig
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

copulas; partition-of-unity; tail dependence; asymmetry

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2016
• Tom: 4
• Numer: 1

Daty

otrzymano

2015-03-30

zaakceptowano

2016-06-20

online

2016-07-21

Twórcy

autor

Dietmar Pfeifer

• Carl von Ossietzky Universität Oldenburg, Germany

autor

Hervé Awoumlac Tsatedem

• Carl von Ossietzky Universität Oldenburg, Germany

autor

Andreas Mändle

• Carl von Ossietzky Universität Oldenburg, Germany

autor

Côme Girschig

• École Nationale des Ponts et Chaussées, Paris, France

Identyfikatory

DOI

10.1515/demo-2016-0006