Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076719 | Insurance: Mathematics and Economics | 2013 | 9 Pages |
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
Fabrizio Durante, Juan Fernández Sánchez, Carlo Sempi,