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

Dietmar Pfeifer 1 , Andreas Mändle 1 ,  and Olena Ragulina 2
  • 1 Carl von Ossietzky Universität Oldenburg, , Oldenburg, Germany
  • 2 Taras Shevchenko National University of Kyiv, , Kyiv, Ukraine

Abstract

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.

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Dependence Modeling aims to provide a medium for exchanging results and ideas in the area of multivariate dependence modeling. Topics include Copula methods, environmental sciences, estimation and goodness-of-fit tests, extreme-value theory, limit laws, mass transportations, measures of association, multivariate distributions and tests, quantitative risk management, risk assessment, risk models, risk measures and stochastic orders and time series.

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