Bounds on integrals with respect to multivariate copulas

Michael Preischl. "Bounds on integrals with respect to multivariate copulas." Dependence Modeling 4.1 (2016): 277-287, electronic only. <http://eudml.org/doc/287140>.

@article{MichaelPreischl2016,
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.},
author = {Michael Preischl},
journal = {Dependence Modeling},
keywords = {Copulas; linear assignment problems; dependence measure; credit risk; copulas},
language = {eng},
number = {1},
pages = {277-287, electronic only},
title = {Bounds on integrals with respect to multivariate copulas},
url = {http://eudml.org/doc/287140},
volume = {4},
year = {2016},
}

TY - JOUR
AU - Michael Preischl
TI - Bounds on integrals with respect to multivariate copulas
JO - Dependence Modeling
PY - 2016
VL - 4
IS - 1
SP - 277
EP - 287, electronic only
AB - 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.
LA - eng
KW - Copulas; linear assignment problems; dependence measure; credit risk; copulas
UR - http://eudml.org/doc/287140
ER -