Adaptive Bernstein Copulas and Risk Management

Dietmar Pfeifer and Olena Ragulina
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Dietmar Pfeifer: Institute of Mathematics, Carl von Ossietzky Universität Oldenburg, D-26111 Oldenburg, Germany
Olena Ragulina: Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, Volodymyrska Str. 64, 01601 Kyiv, Ukraine

Mathematics, 2020, vol. 8, issue 12, 1-22

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 regarding the estimation of risk measures in risk management.

Keywords: copulas; partition-of-unity copulas; Monte Carlo methods (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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