New copulas based on general partitions-of-unity and their applications to risk management
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.
Year of publication: |
2015-05
|
---|---|
Authors: | Pfeifer, Dietmar ; Herv\'e Awoumlac Tsatedem |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Mathar, Rudolf, (1990)
-
Wissenschaftliches Consulting im Rückversicherungsgeschäft: Modelle, Erfahrungen, Entwicklungen
Pfeifer, Dietmar, (2000)
-
Poisson approximations of multinomial distributions and point processes
Deheuvels, Paul, (1988)
- More ...