Tail comonotonicity and conservative risk measures

DOI10.2143/AST.42.2.2182810MaRDI QIDQ2866027zbMATH OpenFDO

Authors Lei Hua, Harry Joe

Publication date 12 December 2013

Published in ASTIN Bulletin (Search for Journal in Brave)

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)

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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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