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Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity
Journal article   Peer reviewed

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

Fabrizio Durante, Juan Fernández-Sánchez and Carlo Sempi
Insurance: Mathematics and Economics, Vol.53(3), pp.897-905
53
2013
Handle:
https://hdl.handle.net/10863/462

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.

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