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Multivariate composite copulas

Recurso electrónico / Electronic resource
MARC record
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001  MAP20220003056
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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24500‎$a‎Multivariate composite copulas‎$c‎Jiehua Xie...[et.al.]
520  ‎$a‎In this paper, we present a method for generating a copula by composing two arbitrary n-dimensional copulas via a vector of bivariate functions, where the resulting copula is named as the multivariate composite copula. A necessary and sufficient condition on the vector guaranteeing the composite function to be a copula is given, and a general approach to construct the vector satisfying this necessary and sufficient condition via bivariate copulas is provided. The multivariate composite copula proposes a new framework for the construction of flexible multivariate copula from existing ones, and it also includes some known classes of copulas. It is shown that the multivariate composite copula has a clear probability structure, and it satisfies the characteristic of uniform convergence as well as the reproduction property for its component copulas. Some properties of multivariate composite copulas are discussed. Finally, numerical illustrations and an empirical example on financial data are provided to show the advantages of the multivariate composite copula, especially in capturing the tail dependence.
650 4‎$0‎MAPA20090035034‎$a‎Modelización mediante cópulas
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080604721‎$a‎Análisis multivariante
7001 ‎$0‎MAPA20220001052‎$a‎Xie, Jiehua
7730 ‎$w‎MAP20077000420‎$g‎03/01/2022 Volumen 52 Número 1 - enero 2022 , p. 145-184‎$x‎0515-0361‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association