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

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  • Dietmar Pfeifer
  • Andreas Mandle
  • Olena Ragulina

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

  • 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.
  • Handle: RePEc:arx:papers:1709.07682
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    File URL: http://arxiv.org/pdf/1709.07682
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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, March.
    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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