Tail comonotonicity and conservative risk measures

DOI10.2143/AST.42.2.2182810zbMATH Open1277.62251MaRDI QIDQ2866027FDOQ2866027

Authors: Lei Hua, Harry Joe 

Publication date: 12 December 2013

Published in: ASTIN Bulletin (Search for Journal in Brave)

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zbMATH Keywords

Laplace transformcopularegular variationArchimedean copuladependence modelingconditional tail expectationasymptotic full dependence

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (10)

• Conditional excess risk measures and multivariate regular variation
• On additivity of tail comonotonic risks
• Risk contagion under regular variation and asymptotic tail independence
• Relations between hidden regular variation and the tail order of copulas
• Higher order tail densities of copulas and hidden regular variation
• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
• Strength of tail dependence based on conditional tail expectation
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• Measuring non-exchangeable tail dependence using tail copulas
• A general approach to full-range tail dependence copulas

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