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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

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.

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