Abstract
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.
Series
Working Paper
Year
2009
Institution
Dept. of Mathematics, University of Oldenburg; mgm consulting partners, Hamburg
Keywords
Copulas; Dependence; monte-carlo simulation; partition of unity
Categories
New Risk Measures
