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Shaping tail dependencies by nesting box copulas

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  • Christoph Hummel

Abstract

We 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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  • Christoph Hummel, 2009. "Shaping tail dependencies by nesting box copulas," Papers 0906.4853, arXiv.org, revised Aug 2009.
    • Handle: RePEc:arx:papers:0906.4853
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    File URL: http://arxiv.org/pdf/0906.4853
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    Cited by:

    1. 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.
    2. 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.

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