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arXiv · 1505.00288

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

Dietmar Pfeifer·Hervé Awoumlac Tsatedem·Andreas Mändle·Côme Girschig
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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.

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Dietmar Pfeifer, Hervé Awoumlac Tsatedem, Andreas Mändle, Côme Girschig. 2019-01-18. New copulas based on general partitions-of-unity and their applications to risk management. https://doi.org/10.1515/demo-2016-0006

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