Data driven partition-of-unity copulas with applications to risk management

Abstract

We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data.

this paper has been upgraded with the paper "New copulas based on general partition-of-unity copulas and their application to risk management part II" arXiv article arXiv:1709.07682