New copulas based on general partitions-of-unity and their applications to risk management


الملخص بالإنكليزية

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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