Extreme Value Theory and Archimedean Copulas
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Archimedean copuladependent riskextreme value theoryFisher-Gnedenko-Tippett theoremmaximum domain of attraction
Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory of statistical distributions (62E10) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Recommendations
- scientific article; zbMATH DE number 1098865
- scientific article; zbMATH DE number 5618857
- Extreme value copulas and max-stable processes
- On the copula for multivariate extreme value distributions
- Ordering extremes of scale random variables under Archimedean copula
- Archimedean copulas with applications to VaR estimation
- Archimedean copulas, exchangeability, and max-stability
- Extreme value properties of multivariate t copulas
Cites work
- Bivariate Survival Models for Coupled Lives
- Copula convergence theorems for tail events.
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 964178 (Why is no real title available?)
- Largest Claims Reinsurance Premiums under Possible Claims Dependence
- Optimal choice of sample fraction in extreme-value estimation
Cited in
(18)- Extreme-value copulas associated with the expected scaled maximum of independent random variables
- On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation
- Extremal behavior of diagonal and Bertino copulas
- Limit theorem for the Robin Hood game
- Some applications of the Archimedean copulas in the proof of the almost sure central limit theorem for ordinary maxima
- Limit distributions of upper order statistics for families of multivariate distributions
- Limit theorem for the maximum of random variables connected by IT-copulas of Student's \(t\)-distribution
- scientific article; zbMATH DE number 6607889 (Why is no real title available?)
- scientific article; zbMATH DE number 5618857 (Why is no real title available?)
- Two copulas associated with extremum
- Limiting dependence structures for tail events, with applications to credit derivatives
- Diversification for general copula dependence
- The limiting copula of the two largest order statistics of independent and identically distributed samples
- Archimedean copulas, exchangeability, and max-stability
- scientific article; zbMATH DE number 1098865 (Why is no real title available?)
- scientific article; zbMATH DE number 1894358 (Why is no real title available?)
- Ordering extremes of scale random variables under Archimedean copula
- Extreme semilinear copulas
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