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

Author

Listed:
  • Pfeifer Dietmar

    (Carl von Ossietzky Universität Oldenburg, Germany)

  • Mändle Andreas

    (University of Bremen, Germany)

  • Ragulina Olena

    (Taras Shevchenko National University of KyivUkraine)

  • Girschig Côme

    (École des Ponts ParisTech, France)

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

  • Pfeifer Dietmar & Mändle Andreas & Ragulina Olena & Girschig Côme, 2019. "New copulas based on general partitions-of-unity (part III) — the continuous case," Dependence Modeling, De Gruyter, vol. 7(1), pages 181-201, January.
    • Handle: RePEc:vrs:demode:v:7:y:2019:i:1:p:181-201:n:9
    DOI: 10.1515/demo-2019-0009
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    References listed on IDEAS

    as
    1. 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.
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