COMPOSITE BERNSTEIN COPULAS | |
Yang, Jingping ; Chen, Zhijin ; Wang, Fang ; Wang, Ruodu | |
2015 | |
关键词 | Composite Bernstein copula copula construction tail dependence non-parametric estimation MULTIVARIATE DISTRIBUTIONS ACTUARIAL SCIENCE COMONOTONICITY MARGINALS FINANCE |
英文摘要 | Copula function has been widely used in insurance and finance for modeling inter-dependency between risks. Inspired by the Bernstein copula put forward by Sancetta and Satchell (2004, Econometric Theory, 20, 535-562), we introduce a new class of multivariate copulas, the composite Bernstein copula, generated from a composition of two copulas. This new class of copula functions is able to capture tail dependence, and it has a reproduction property for the three important dependency structures: comonotonicity, countermonotonicity and independence. We introduce an estimation procedure based on the empirical composite Bernstein copula which incorporates both prior information and data into the estimation. Simulation studies and an empirical study on financial data illustrate the advantages of the empirical composite Bernstein copula estimation method, especially in capturing tail dependence.; National Natural Science Foundation of China [11131002, 11271033, 11471222]; Foundation of Beijing Education Bureau [201510028002]; Natural Sciences and Engineering Research Council of Canada (NSERC); SCI(E); SSCI; ARTICLE; yangjp@math.pku.edu.cn; bjzhijin@126.com; fang72_wang@cnu.edu.cn; wang@uwaterloo.ca; 2; 445-475; 45 |
语种 | 英语 |
出处 | SCI |
出版者 | Astin Bulletin |
内容类型 | 其他 |
源URL | [http://hdl.handle.net/20.500.11897/420386] |
专题 | 数学科学学院 |
推荐引用方式 GB/T 7714 | Yang, Jingping,Chen, Zhijin,Wang, Fang,et al. COMPOSITE BERNSTEIN COPULAS. 2015-01-01. |
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