New copulas based on general partitions-of-unity (part III) — the continuous case

Pfeifer Dietmar (), Mändle Andreas (), Ragulina Olena () and Girschig Côme ()
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Pfeifer Dietmar: Carl von Ossietzky Universität Oldenburg, Germany
Mändle Andreas: University of Bremen, Germany
Ragulina Olena: Taras Shevchenko National University of KyivUkraine
Girschig Côme: École des Ponts ParisTech, France

Dependence Modeling, 2019, vol. 7, issue 1, 181-201

Abstract: In this paper we discuss a natural extension of infinite discrete partition-of-unity copulas which were recently introduced in the literature to continuous partition of copulas with possible applications in risk management and other fields. We present a general simple algorithm to generate such copulas on the basis of the empirical copula from high-dimensional data sets. In particular, our constructions also allow for an implementation of positive tail dependence which sometimes is a desirable property of copula modelling, in particular for internal models under Solvency II.

Keywords: partition-of-unity copulas; tail dependence (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:7:y:2019:i:1:p:181-201:n:9

DOI: 10.1515/demo-2019-0009

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