Displaying similar documents to “New copulas based on general partitions-of-unity and their applications to risk management”

New copulas based on general partitions-of-unity and their applications to risk management (part II)

Dietmar Pfeifer, Andreas Mändle, Olena Ragulina (2017)

Dependence Modeling

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We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data in arbitrary dimensions.

My introduction to copulas

Fabrizio Durante, Giovanni Puccetti, Matthias Scherer, Steven Vanduffel (2017)

Dependence Modeling

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Constructing copulas by means of pairs of order statistics

Ali Dolati, Manuel Úbeda-Flores (2009)

Kybernetika

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In this paper, we introduce two transformations on a given copula to construct new and recover already-existent families. The method is based on the choice of pairs of order statistics of the marginal distributions. Properties of such transformations and their effects on the dependence and symmetry structure of a copula are studied.

Orbital semilinear copulas

Tarad Jwaid, Bernard de Baets, Hans de Meyer (2009)

Kybernetika

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We introduce four families of semilinear copulas (i.e. copulas that are linear in at least one coordinate of any point of the unit square) of which the diagonal and opposite diagonal sections are given functions. For each of these families, we provide necessary and sufficient conditions under which given diagonal and opposite diagonal functions can be the diagonal and opposite diagonal sections of a semilinear copula belonging to that family. We focus particular attention on the family...

Invariant copulas

Erich Peter Klement, Radko Mesiar, Endre Pap (2002)

Kybernetika

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A note on biconic copulas

Fabrizio Durante, Juan Fernández-Sánchez (2011)

Kybernetika

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We describe a class of bivariate copulas having a fixed diagonal section. The obtained class contains both the Fréchet upper and lower bounds and it allows to describe non-trivial tail dependence coefficients along both the diagonals of the unit square.