Adaptive Bernstein Copulas and Risk Management

Abstract

We present a constructive approach to Bernstein copulas with an admissible discrete skeleton in arbitrary dimensions when the underlying marginal grid sizes are smaller than the number of observations. This prevents an overfitting of the estimated dependence model and reduces the simulation effort for Bernstein copulas a lot. In a case study, we compare different approaches of Bernstein and Gaussian copulas w.r.t. the estimation of risk measures in risk management.

corrected version; 27 pages, 58 figures, 17 tables

References in corpus (4)

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