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

Author

Listed:
  • Pfeifer Dietmar
  • Tsatedem Hervé Awoumlac
  • Mändle Andreas

    (Carl von Ossietzky Universität Oldenburg, Germany)

  • Girschig Côme

    (École Nationale des Ponts et Chaussées, Paris, France)

Abstract

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.

Suggested Citation

  • Pfeifer Dietmar & Tsatedem Hervé Awoumlac & Mändle Andreas & Girschig Côme, 2016. "New copulas based on general partitions-of-unity and their applications to risk management," Dependence Modeling, De Gruyter, vol. 4(1), pages 123-140, July.
    • Handle: RePEc:vrs:demode:v:4:y:2016:i:1:p:123-140:n:6
    DOI: 10.1515/demo-2016-0006
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    Cited by:

    1. Dietmar Pfeifer & Andreas Mandle & Olena Ragulina, 2017. "Data driven partition-of-unity copulas with applications to risk management," Papers 1703.05047, arXiv.org, revised Nov 2020.
    2. Dietmar Pfeifer & Olena Ragulina, 2018. "Generating VaR Scenarios under Solvency II with Product Beta Distributions," Risks, MDPI, vol. 6(4), pages 1-15, October.
    3. Kuzmenko Viktor & Salam Romel & Uryasev Stan, 2020. "Checkerboard copula defined by sums of random variables," Dependence Modeling, De Gruyter, vol. 8(1), pages 70-92, January.
    4. Kuzmenko Viktor & Salam Romel & Uryasev Stan, 2020. "Checkerboard copula defined by sums of random variables," Dependence Modeling, De Gruyter, vol. 8(1), pages 70-92, January.

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