Asymptotic tail dependence of the normal copula

MaRDI QIDQ2935587zbMATH OpenFDO

Authors Hiroki Kondo, Shingo Saito, Setsuo Taniguchi

Publication date 30 December 2014

zbMATH Keywords

copulanormal copulatail dependence

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03)

Recommendations

• Dynamic bivariate normal copula
• Copula convergence theorems for tail events.
• The bivariate normal copula function is regularly varying
• Tail dependence from a distributional point of view
• Tail dependence of the Gaussian copula revisited

Cited in

(5)

• Dynamic bivariate normal copula
• Tail dependence of the Gaussian copula revisited
• scientific article; zbMATH DE number 7660129 (Why is no real title available?)
• Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes
• The bivariate normal copula function is regularly varying

This page was built for publication: Asymptotic tail dependence of the normal copula

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2935587)