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Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity

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  • Durante, Fabrizio
  • Fernández Sánchez, Juan
  • Sempi, Carlo

Abstract

We present a general view of patchwork constructions of copulas that encompasses previous approaches based on similar ideas (ordinal sums, gluing methods, piecing-together, etc.). Practical applications of the new methodology are connected with the determination of copulas having specified behaviour in the tails, such as upper comonotonic copulas.

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  • Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo, 2013. "Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 897-905.
    • Handle: RePEc:eee:insuma:v:53:y:2013:i:3:p:897-905
    DOI: 10.1016/j.insmatheco.2013.10.010
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    References listed on IDEAS

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    14. Embrechts, Paul & Hoing, Andrea & Puccetti, Giovanni, 2005. "Worst VaR scenarios," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 115-134, August.
    15. Auguste Gaddah & Roel Braekers, 2011. "An extension of the Koziol–Green model under dependent censoring," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(2), pages 439-453.
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    Cited by:

    1. Zheng, Yanting & Luan, Xin & Lu, Xin & Liu, Jiaming, 2023. "A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
    2. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
    3. Durante Fabrizio & Fernández-Sánchez Juan & Trutschnig Wolfgang, 2014. "Solution to an open problem about a transformation on the space of copulas," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-8, November.
    4. Pfeifer Dietmar & Mändle Andreas & Ragulina Olena, 2017. "New copulas based on general partitions-of-unity and their applications to risk management (part II)," Dependence Modeling, De Gruyter, vol. 5(1), pages 246-255, October.
    5. André, L.M. & Wadsworth, J.L. & O'Hagan, A., 2024. "Joint modelling of the body and tail of bivariate data," Computational Statistics & Data Analysis, Elsevier, vol. 189(C).
    6. Laverny, Oskar & Masiello, Esterina & Maume-Deschamps, Véronique & Rullière, Didier, 2021. "Dependence structure estimation using Copula Recursive Trees," Journal of Multivariate Analysis, Elsevier, vol. 185(C).
    7. 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.
    8. Dietmar Pfeifer & Andreas Mandle & Olena Ragulina, 2017. "New copulas based on general partitions-of-unity and their applications to risk management (part II)," Papers 1709.07682, arXiv.org, revised Jan 2019.
    9. Su, Jianxi & Hua, Lei, 2017. "A general approach to full-range tail dependence copulas," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 49-64.

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