Article ID Journal Published Year Pages File Type
5076719 Insurance: Mathematics and Economics 2013 9 Pages PDF
Abstract
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
, , ,