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New copulas based on general partitions-of-unity and their applications to risk management

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  • Dietmar Pfeifer
  • Herv'e Awoumlac Tsatedem
  • Andreas Mandle
  • C^ome Girschig

Abstract

We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows - in contrast to finite partition-of-unity copulas - for tail-dependence as well as for asymmetry. A possibility of fitting such copulas to real data from quantitative risk management is also pointed out.

Suggested Citation

  • Dietmar Pfeifer & Herv'e Awoumlac Tsatedem & Andreas Mandle & C^ome Girschig, 2015. "New copulas based on general partitions-of-unity and their applications to risk management," Papers 1505.00288, arXiv.org, revised Jan 2019.
    • Handle: RePEc:arx:papers:1505.00288
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    File URL: http://arxiv.org/pdf/1505.00288
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    Cited by:

    1. André, L.M. & Wadsworth, J.L. & O'Hagan, A., 2024. "Joint modelling of the body and tail of bivariate data," Computational Statistics & Data Analysis, Elsevier, vol. 189(C).
    2. Masuhr Andreas & Trede Mark, 2020. "Bayesian estimation of generalized partition of unity copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 119-131, January.

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