Copula convergence theorems for tail events.

DOI10.1016/S0167-6687(02)00121-XMaRDI QIDQ1413327zbMATH OpenOpenAlexFDO

Authors Alessandro Juri, Mario V. Wüthrich

Publication date 16 November 2003

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-6687(02)00121-x

zbMATH Keywords

Archimedean copulaClayton copulaTail dependenceComonotonicityDependent risksRegular variation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Tail dependence from a distributional point of view
• Copulas, tail dependence and applications to the analysis of financial time series
• Non-parametric Estimation of Tail Dependence
• Limiting dependence structures for tail events, with applications to credit derivatives
• Dependence and order in families of Archimedean copulas

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 193528 (Why is no real title available?)
• 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?)
• A characterization of Gumbel's family of extreme value distributions
• An introduction to copulas. Properties and applications
• Comonotonicity and maximal stop-loss premiums
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Orderings of risks: A comparative study via stop-loss transforms
• Stochastic Orders Generated by Integrals: a Unified Study
• Stochastic bounds on sums of dependent risks
• The safest dependence structure among risks.
• Understanding Relationships Using Copulas

Cited in

(52)

• Dependence of Stock Returns in Bull and Bear Markets
• Distorted Copulas: Constructions and Tail Dependence
• Estimating a bivariate tail: a copula based approach
• Multivariate extreme value theory and its usefulness in understanding risk
• Quantifying the risk using copulae with nonparametric marginals
• Lower tail dependence for Archimedean copulas: characterizations and pitfalls
• Dependence of exchangeable residual lifetimes subject to failure
• Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
• On spatial contagion and multivariate GARCH models
• On truncation invariant copulas and their estimation
• Dynamic dependence ordering for Archimedean copulas and distorted copulas
• Operator tail dependence of copulas
• Absolutely Continuous Copulas with Given Diagonal Sections
• Threshold copulas and positive dependence
• New Families of Copulas Based on Periodic Functions
• Gaussian approximation of conditional elliptical copulas
• Tail order and intermediate tail dependence of multivariate copulas
• On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Extremal behavior of Archimedean copulas
• Univariate conditioning of vine copulas
• Copulas with truncation-invariance property
• On univariate and bivariate aging for dependent lifetimes with Archimedean survival copulas
• Right-truncated Archimedean and related copulas
• Estimating the tail-dependence coefficient: properties and pitfalls
• Univariate conditioning of copulas
• Diversification of aggregate dependent risks
• On uniform tail expansions of multivariate copulas and wide convergence of measures
• On the class of truncation invariant bivariate copulas under constraints
• On the tail dependence in bivariate hydrological frequency analysis
• Empirical tail copulas for functional data
• On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence
• Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
• A copula-based correlation measure and its application in Chinese stock market
• On tail dependence coefficients of transformed multivariate Archimedean copulas
• Extreme Value Theory and Archimedean Copulas
• Copulas, tail dependence and applications to the analysis of financial time series
• Invariant dependence structures and Archimedean copulas
• Invariant dependence structure under univariate truncation: the high-dimensional case
• Convergence of Archimedean copulas
• Invariant dependence structure under univariate truncation
• Conditioning of copulas: transformations, invariance and measures of concordance
• Archimedean copulae and positive dependence
• Limiting dependence structures for tail events, with applications to credit derivatives
• Spatial contagion between financial markets: a copula-based approach
• Truncation invariant copulas and a testing procedure
• Behaviour of multivariate tail dependence coefficients
• Diversification for general copula dependence
• On conditional value at risk (CoVaR) for tail-dependent copulas
• Limiting tail dependence copulas
• Asymptotic tail dependence of the normal copula
• Tails of multivariate Archimedean copulas

This page was built for publication: Copula convergence theorems for tail events.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1413327)