Copula convergence theorems for tail events.
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Cites work
- A characterization of Gumbel's family of extreme value distributions
- An introduction to copulas. Properties and applications
- Comonotonicity and maximal stop-loss premiums
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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- scientific article; zbMATH DE number 605729 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- Modeling and Comparing Dependencies in Multivariate Risk Portfolios
- Orderings of risks: A comparative study via stop-loss transforms
- Stochastic bounds on sums of dependent risks
- Stochastic Orders Generated by Integrals: a Unified Study
- The safest dependence structure among risks.
- Understanding Relationships Using Copulas
Cited in
(53)- Tails of multivariate Archimedean copulas
- On truncation invariant copulas and their estimation
- Operator tail dependence of copulas
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- Conditioning of copulas: transformations, invariance and measures of concordance
- Archimedean copulae and positive dependence
- Diversification of aggregate dependent risks
- Right-truncated Archimedean and related copulas
- Empirical tail copulas for functional data
- On the class of truncation invariant bivariate copulas under constraints
- Univariate conditioning of vine copulas
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Convergence of Archimedean copulas
- Quantifying the risk using copulae with nonparametric marginals
- Estimating the tail-dependence coefficient: properties and pitfalls
- Dependence of exchangeable residual lifetimes subject to failure
- Invariant dependence structure under univariate truncation: the high-dimensional case
- Copulas, tail dependence and applications to the analysis of financial time series
- Invariant dependence structure under univariate truncation
- Asymptotic tail dependence of the normal copula
- Extremal behavior of Archimedean copulas
- Spatial contagion between financial markets: a copula-based approach
- Dynamic dependence ordering for Archimedean copulas and distorted copulas
- On univariate and bivariate aging for dependent lifetimes with Archimedean survival copulas
- Univariate conditioning of copulas
- Limiting dependence structures for tail events, with applications to credit derivatives
- On uniform tail expansions of multivariate copulas and wide convergence of measures
- Diversification for general copula dependence
- Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
- Distorted Copulas: Constructions and Tail Dependence
- Copulas with truncation-invariance property
- Limiting tail dependence copulas
- Estimating a bivariate tail: a copula based approach
- Gaussian approximation of conditional elliptical copulas
- Multivariate extreme value theory and its usefulness in understanding risk
- On conditional value at risk (CoVaR) for tail-dependent copulas
- Truncation invariant copulas and a testing procedure
- Behaviour of multivariate tail dependence coefficients
- A copula-based correlation measure and its application in Chinese stock market
- New Families of Copulas Based on Periodic Functions
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Dependence of Stock Returns in Bull and Bear Markets
- Extreme Value Theory and Archimedean Copulas
- Absolutely Continuous Copulas with Given Diagonal Sections
- On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence
- Tail order and intermediate tail dependence of multivariate copulas
- Invariant dependence structures and Archimedean copulas
- On spatial contagion and multivariate GARCH models
- Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
- Storm CAT Bond: Modeling and Valuation
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- On the tail dependence in bivariate hydrological frequency analysis
- Threshold copulas and positive dependence
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