Asymptotic tail dependence of the normal copula

zbMATH Open1302.93196MaRDI QIDQ2935587FDOQ2935587

Authors: Hiroki Kondo, Shingo Saito, Setsuo Taniguchi 

Publication date: 30 December 2014

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

zbMATH Keywords

copulatail dependencenormal copula

Mathematics Subject Classification ID

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

Cited In (5)

• Dynamic bivariate normal copula
• The bivariate normal copula function is regularly varying
• Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes
• Title not available (Why is that?)
• Tail dependence of the Gaussian copula revisited

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