New copulas based on general partitions-of-unity (part III) — the continuous case
Keyword(s):
AbstractIn this paper we discuss a natural extension of infinite discrete partition-of-unity copulas which were recently introduced in the literature to continuous partition of copulas with possible applications in risk management and other fields. We present a general simple algorithm to generate such copulas on the basis of the empirical copula from high-dimensional data sets. In particular, our constructions also allow for an implementation of positive tail dependence which sometimes is a desirable property of copula modelling, in particular for internal models under Solvency II.
2016 ◽
Vol 76
(4)
◽
pp. 512-531
◽
Keyword(s):
2005 ◽
Vol 01
(01)
◽
pp. 0550003
◽
Keyword(s):
2012 ◽
Vol 9
(2)
◽
pp. 91-103
◽
2020 ◽
Vol 21
(4)
◽
pp. 317-332
◽