Bounds on integrals with respect to multivariate copulas

• Autorzy: Michael Preischl
• Języki publikacji: EN

Abstrakty

EN

In this paper, we present a method to obtain upper and lower bounds on integrals with respect to copulas by solving the corresponding assignment problems (AP’s). In their 2014 paper, Hofer and Iacó proposed this approach for two dimensions and stated the generalization to arbitrary dimensons as an open problem. We will clarify the connection between copulas and AP’s and thus find an extension to the multidimensional case. Furthermore, we provide convergence statements and, as applications, we consider three dimensional dependence measures as well as an example from finance.

Słowa kluczowe

EN

Copulas; linear assignment problems; dependence measure; credit risk

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

Daty

otrzymano

2016-06-27

zaakceptowano

2016-11-02

online

2016-12-05

Twórcy

autor

Michael Preischl

• Graz University of Technology, Institute of Analysis and Number Theory, Kopernikusgasse 24/II, 8010 Graz

Identyfikatory

DOI

10.1515/demo-2016-0016