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AbstractWe construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach.This approach allows, in contrast to finite partition-of-unity copulas, for tail-dependence as well asfor asymmetry. A possibility of fitting such copulas to real data from...
AbstractBased on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR boundfor joint risk portfolios with fixed marginal distributions and positive dependence information. The positivedependence information can be assumed to hold in the tails, in some central part, or...
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