多元复合copula

IF 1.8 3区经济学 Q2 ECONOMICS

ASTIN Bulletin Pub Date : 2021-11-03 DOI:10.1017/asb.2021.30

Jiehua Xie, Jun Fang, Jingping Yang, Lan Bu

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引用次数: 3

摘要

摘要本文提出了一种通过二元函数向量组合任意两个n维共轭产生共轭的方法，该共轭称为多元复合共轭。给出了向量上保证复合函数是联结函数的一个充分必要条件，并给出了利用二元联结函数构造满足这个充分必要条件的向量的一般方法。多元复合联结提出了一种从已有的多元联结构造柔性多元联结的新框架，它还包含了一些已知的联结类。结果表明，多元复合联结具有清晰的概率结构，满足其组成联结的一致收敛性和可复制性。讨论了多元复合copula的一些性质。最后，给出了一个金融数据的数值说明和实证例子，说明了多元复合联结公式的优势，特别是在捕捉尾部依赖方面。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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MULTIVARIATE COMPOSITE COPULAS

Abstract In this paper, we present a method for generating a copula by composing two arbitrary n-dimensional copulas via a vector of bivariate functions, where the resulting copula is named as the multivariate composite copula. A necessary and sufficient condition on the vector guaranteeing the composite function to be a copula is given, and a general approach to construct the vector satisfying this necessary and sufficient condition via bivariate copulas is provided. The multivariate composite copula proposes a new framework for the construction of flexible multivariate copula from existing ones, and it also includes some known classes of copulas. It is shown that the multivariate composite copula has a clear probability structure, and it satisfies the characteristic of uniform convergence as well as the reproduction property for its component copulas. Some properties of multivariate composite copulas are discussed. Finally, numerical illustrations and an empirical example on financial data are provided to show the advantages of the multivariate composite copula, especially in capturing the tail dependence.

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来源期刊

ASTIN Bulletin 数学-数学跨学科应用

CiteScore

3.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.