Autor:	Pfeifer, Dietmar, Strassburger, Doreen, Philipps, Joerg
Rok vydání:	2020
Předmět:	Statistics - Methodology Quantitative Finance - Risk Management 62H05 62H12 62H17 11K45
Druh dokumentu:	Working Paper
Popis:	In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in connection with discrete random vectors possessing uniform margins. We further suggest a pragmatic way to fit the dependence structure of multivariate data to Bernstein copulas via grid-type copulas and empirical contingency tables. Finally, we discuss a Monte Carlo study for the simulation and PML estimation for aggregate dependent losses form observed windstorm and flooding data. Comment: paper presented on the International ASTIN Colloquium 2009, Helsinki
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2010.15709 Zobrazit plný text záznamu View this record from Arxiv