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

Dietmar Pfeifer, Andreas M\"andle, Olena Ragulina and C\^ome Girschig

Papers from arXiv.org

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.

Date: 2018-03, Revised 2019-05
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Published in Dependence Modeling (2019), 181 - 201

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1803.00957

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