New copulas based on general partitions-of-unity and their applications to risk management
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Publication:324993
DOI10.1515/demo-2016-0006zbMath1349.62177arXiv1505.00288OpenAlexW3098140061MaRDI QIDQ324993
Hervé Awoumlac Tsatedem, Andreas Mändle, Dietmar Pfeifer, Côme Girschig
Publication date: 17 October 2016
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.00288
Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Contingency tables (62H17)
Related Items (6)
Bayesian estimation of generalized partition of unity copulas ⋮ Modelling the association in bivariate survival data by using a Bernstein copula ⋮ Checkerboard copula defined by sums of random variables ⋮ New copulas based on general partitions-of-unity. III: The continuous case ⋮ New copulas based on general partitions-of-unity and their applications to risk management. II. ⋮ Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
Uses Software
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