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

We present a general view of patchwork constructions of copulas that encompasses previous approaches based on similar ideas (ordinal sums, gluing methods, piecing-together, etc.). Practical applications of the new methodology are connected with the determination of copulas having specified behaviour in the tails, such as upper comonotonic copulas.

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Year of publication:	2013
Authors:	Durante, Fabrizio ; Fernández Sánchez, Juan ; Sempi, Carlo
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 3, p. 897-905
Publisher:	Elsevier
Subject:	Comonotonicity \| Copula \| Patchwork construction \| Tail dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011046612