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

Dietmar Pfeifer; Andreas Mändle; Olena Ragulina

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New copulas based on general partitions-of-unity and their applications to risk management

Dietmar Pfeifer, Hervé Awoumlac Tsatedem, Andreas Mändle, Côme Girschig (2016)

Dependence Modeling

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We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows, in contrast to finite partition-of-unity copulas, for tail-dependence as well as for asymmetry. A possibility of fitting such copulas to real data from quantitative risk management is also pointed out.

My introduction to copulas

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

Dependence Modeling

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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...

Univariate conditioning of copulas

Radko Mesiar, Vladimír Jágr, Monika Juráňová, Magda Komorníková (2008)

Kybernetika

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The univariate conditioning of copulas is studied, yielding a construction method for copulas based on an a priori given copula. Based on the gluing method, g-ordinal sum of copulas is introduced and a representation of copulas by means of g-ordinal sums is given. Though different right conditionings commute, this is not the case of right and left conditioning, with a special exception of Archimedean copulas. Several interesting examples are given. Especially, any Ali-Mikhail-Haq copula...

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.