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

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.

23 pages, 24 figures, 4 tables, 2o references

References in corpus (1)

• Modelling and simulation of dependence structures in nonlife insurance with Bernstein copulas

Cited by in corpus (3)

• New copulas based on general partitions-of-unity and their applications to risk management (part II)
• Generating VaR scenarios with product beta distributions
• New copulas based on general partitions-of-unity (part III) - the continuous case (extended version)