Discrete imprecise copulas

In this paper, we study discrete quasi-copulas associated with imprecise copulas. We focus on discrete imprecise copulas that are in correspondence with the Alternating Sign Matrices and provide some construction techniques of dual pairs. Additionally, we show how to obtain (full-domain) self-dual imprecise copulas through patchwork techniques. We further investigate the properties of the constructed dual pairs and prove that they are coherent and avoid sure loss.

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Publication Details

Journal
Fuzzy Sets and Systems
Published
2024-12-24
DOI
https://doi.org/10.1016/j.fss.2024.109251
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
0.00

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article

Discrete imprecise copulas

Tomaž Košir, Elisa Perrone
Fuzzy Sets and Systems
Financial Risk and Volatility Modeling
article

Discrete imprecise copulas

Tomaž Košir, Elisa Perrone
article en

Abstract

In this paper, we study discrete quasi-copulas associated with imprecise copulas. We focus on discrete imprecise copulas that are in correspondence with the Alternating Sign Matrices and provide some construction techniques of dual pairs. Additionally, we show how to obtain (full-domain) self-dual imprecise copulas through patchwork techniques. We further investigate the properties of the constructed dual pairs and prove that they are coherent and avoid sure loss.

Fuzzy Sets and SystemsVol. 504
University of Ljubljana (SI), Eindhoven University of Technology (NL)
Technische Universiteit Eindhoven, Javna Agencija za Raziskovalno Dejavnost RS
Openalex Percentile: Top 67%
Financial Risk and Volatility Modeling
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Discrete imprecise copulas — Tomaž Košir, Elisa Perrone · Fuzzy Sets and Systems (2024) | TGRS Research Map | TGRS