Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity

DOI10.1016/j.insmatheco.2013.10.010zbMath1290.62040OpenAlexW2004322305MaRDI QIDQ2015661

Fabrizio Durante, Carlo Sempi, Juan Fernández-Sánchez

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.10.010

zbMATH Keywords

copulacomonotonicitytail dependencepatchwork construction

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (23)

Convergence results for patchwork copulas ⋮ On the control of the difference between two Brownian motions: a dynamic copula approach ⋮ A note on upper-patched generators for Archimedean copulas ⋮ Copulas with given values on the tails ⋮ A general approach to full-range tail dependence copulas ⋮ Extreme semilinear copulas ⋮ On the measure induced by copulas that are invariant under univariate truncation ⋮ Joint modelling of the body and tail of bivariate data ⋮ Ordinal sums: from triangular norms to bi- and multivariate copulas ⋮ Marshall-Olkin type copulas generated by a global shock ⋮ New copulas based on general partitions-of-unity and their applications to risk management. II. ⋮ A characterization of multivariate independence using copulas ⋮ Extreme biconic copulas: characterization, properties and extensions to aggregation functions ⋮ Bounds on total economic capital: the DNB case study ⋮ A Markov product for tail dependence functions ⋮ On the relationship between modular functions and copulas ⋮ Geometry of discrete copulas ⋮ The role of generalized convexity in conic copula constructions ⋮ Asymmetric Copulas and Their Application in Design of Experiments ⋮ Dependence structure estimation using copula recursive trees ⋮ Truncation invariant copulas and a testing procedure ⋮ Reflection invariant copulas ⋮ Solution to an open problem about a transformation on the space of copulas

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