Shaping tail dependencies by nesting box copulas
AbstractWe introduce a family of copulas which are locally piecewise uniform in the interior of the unit cube of any given dimension. Within that family, the simultaneous control of tail dependencies of all projections to faces of the cube is possible and we give an efficient sampling algorithm. The combination of these two properties may be appealing to risk modellers.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0906.4853.
Date of creation: Jun 2009
Date of revision: Aug 2009
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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- Arbenz, Philipp & Hummel, Christoph & Mainik, Georg, 2012. "Copula based hierarchical risk aggregation through sample reordering," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 122-133.
- Diers, Dorothea & Eling, Martin & Marek, Sebastian D., 2012. "Dependence modeling in non-life insurance using the Bernstein copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 430-436.
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