Tail dependence from a distributional point of view
From MaRDI portal
Publication:1880891
DOI10.1023/B:EXTR.0000031180.93684.85zbMath1049.62055OpenAlexW2051005398MaRDI QIDQ1880891
Alessandro Juri, Mario V. Wüthrich
Publication date: 24 September 2004
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:extr.0000031180.93684.85
regular variationinvariance propertiesextreme value theorytail dependencedependent risksarchimedean copula
Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)
Related Items (40)
Dependence of exchangeable residual lifetimes subject to failure ⋮ Invariant dependence structure under univariate truncation ⋮ Diversification of aggregate dependent risks ⋮ Extremes for coherent risk measures ⋮ Tail dependence measure for examining financial extreme co-movements ⋮ Environmental contours as Voronoi cells ⋮ A note on upper-patched generators for Archimedean copulas ⋮ Lower tail dependence for Archimedean copulas: characterizations and pitfalls ⋮ Estimating a bivariate tail: a copula based approach ⋮ Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model ⋮ On the worst and least possible asymptotic dependence ⋮ Semiparametric bivariate Archimedean copulas ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ Tail order and intermediate tail dependence of multivariate copulas ⋮ Gaussian approximation of conditional elliptical copulas ⋮ Asymptotics for risk capital allocations based on conditional tail expectation ⋮ Diversification for general copula dependence ⋮ Extremal behavior of Archimedean copulas ⋮ ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE ⋮ Tail asymptotics for the sum of two heavy-tailed dependent risks ⋮ Threshold copulas and positive dependence ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ Distorted Copulas: Constructions and Tail Dependence ⋮ Extreme behavior of bivariate elliptical distributions ⋮ Right-truncated Archimedean and related copulas ⋮ Law of large numbers and large deviations for dependent risks ⋮ Bayesian copula selection ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Statistical analysis of dependent competing risks model in accelerated life testing under progressively hybrid censoring using copula function ⋮ Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks ⋮ Spatial contagion between financial markets: a copula-based approach ⋮ Analysis of the Expected Shortfall of Aggregate Dependent Risks ⋮ Limiting Tail Dependence Copulas ⋮ Limiting dependence structures for tail events, with applications to credit derivatives ⋮ The t Copula and Related Copulas ⋮ Invariant dependence structure under univariate truncation: the high-dimensional case ⋮ Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk ⋮ Univariate conditioning of vine copulas
This page was built for publication: Tail dependence from a distributional point of view
