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New copulas based on general partitions-of-unity and their applications to risk management (part II)

Author

Listed:
  • Pfeifer Dietmar
  • Mändle Andreas

    (Carl von Ossietzky Universität Oldenburg, Oldenburg, Germany)

  • Ragulina Olena

    (Taras Shevchenko National University of Kyiv, Kyiv, Ukraine)

Abstract

We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data in arbitrary dimensions.

Suggested Citation

  • 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.
    • Handle: RePEc:vrs:demode:v:5:y:2017:i:1:p:246-255:n:14
    DOI: 10.1515/demo-2017-0014
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    References listed on IDEAS

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    1. Durante, Fabrizio & Fernández-Sánchez, Juan, 2010. "Multivariate shuffles and approximation of copulas," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1827-1834, December.
    2. Alexander J. McNeil & Rüdiger Frey & Paul Embrechts, 2015. "Quantitative Risk Management: Concepts, Techniques and Tools Revised edition," Economics Books, Princeton University Press, edition 2, number 10496.
    3. 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.
    4. Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
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    Cited by:

    1. Dietmar Pfeifer & Olena Ragulina, 2018. "Generating VaR Scenarios under Solvency II with Product Beta Distributions," Risks, MDPI, vol. 6(4), pages 1-15, October.

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