Bounds on integrals with respect to multivariate copulas

Preischl Michael
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Preischl Michael: Graz University of Technology, Institute of Analysis and Number Theory, Kopernikusgasse 24/II, 8010 Graz

Dependence Modeling, 2016, vol. 4, issue 1, 11

Abstract: In this paper, we present a method to obtain upper and lower bounds on integrals with respect to copulas by solving the corresponding assignment problems (AP’s). In their 2014 paper, Hofer and Iacó proposed this approach for two dimensions and stated the generalization to arbitrary dimensons as an open problem. We will clarify the connection between copulas and AP’s and thus find an extension to the multidimensional case. Furthermore, we provide convergence statements and, as applications, we consider three dimensional dependence measures as well as an example from finance.

Keywords: Copulas; linear assignment problems; dependence measure; credit risk (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:4:y:2016:i:1:p:11:n:16

DOI: 10.1515/demo-2016-0016

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