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New copulas based on general partitions-of-unity (part III) - the continuous case (extended version)

Author

Listed:
  • Dietmar Pfeifer
  • Andreas Mandle
  • Olena Ragulina
  • C^ome Girschig

Abstract

In this paper we discuss a natural extension of infinite discrete partition-of-unity copulas which were recently introduced in the literature to continuous partition of copulas with possible applications in risk management and other fields. We present a general simple algorithm to generate such copulas on the basis of the empirical copula from high-dimensional data sets. In particular, our constructions also allow for an implementation of positive tail dependence which sometimes is a desirable property of copula modelling, in particular for internal models under Solvency II.

Suggested Citation

  • Dietmar Pfeifer & Andreas Mandle & Olena Ragulina & C^ome Girschig, 2018. "New copulas based on general partitions-of-unity (part III) - the continuous case (extended version)," Papers 1803.00957, arXiv.org, revised May 2019.
    • Handle: RePEc:arx:papers:1803.00957
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    References listed on IDEAS

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    1. Scott, David W., 2004. "Multivariate Density Estimation and Visualization," Papers 2004,16, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
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    Cited by:

    1. Masuhr Andreas & Trede Mark, 2020. "Bayesian estimation of generalized partition of unity copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 119-131, January.
    2. Pfeifer Dietmar & Ragulina Olena, 2021. "Generating unfavourable VaR scenarios under Solvency II with patchwork copulas," Dependence Modeling, De Gruyter, vol. 9(1), pages 327-346, January.

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