New copulas based on general partitions-of-unity and their applications to risk management
Dietmar Pfeifer ; Hervé Awoumlac Tsatedem ; Andreas Mändle ; Côme Girschig
Dependence Modeling, Tome 4 (2016), / Harvested from The Polish Digital Mathematics Library

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.

Publié le : 2016-01-01
EUDML-ID : urn:eudml:doc:285713
@article{bwmeta1.element.doi-10_1515_demo-2016-0006,
     author = {Dietmar Pfeifer and Herv\'e Awoumlac Tsatedem and Andreas M\"andle and C\^ome Girschig},
     title = {New copulas based on general partitions-of-unity and their applications to risk management},
     journal = {Dependence Modeling},
     volume = {4},
     year = {2016},
     zbl = {1349.62177},
     language = {en},
     url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2016-0006}
}
Dietmar Pfeifer; Hervé Awoumlac Tsatedem; Andreas Mändle; Côme Girschig. New copulas based on general partitions-of-unity and their applications to risk management. Dependence Modeling, Tome 4 (2016) . http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2016-0006/