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Continuos Partition-of-unity Copulas and their Application to Risk Management and other Fields
uploaded September 13, 2022
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CPD
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In this paper we discuss a natural extension of discrete partition-of-unity copulas to continuous partition of copulas with possible applications in risk management and other fields of insurance. 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.
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