Extremal behavior of Archimedean copulas
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Publication:2996576
DOI10.1239/AAP/1300198519zbMATH Open1213.62084OpenAlexW2072212640MaRDI QIDQ2996576FDOQ2996576
Authors: Martin Larsson, Johanna Nešlehová 
Publication date: 3 May 2011
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1300198519
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tail dependenceregular variationWilliamson transformdomain of attractionextreme value copulasimplex distribution\(\ell_1\)-norm symmetric distributionthreshold copula
Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Central limit and other weak theorems (60F05)
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Cited In (40)
- Dependence structure of conditional Archimedean copulas
- A law of uniform seniority for dependent lives
- Title not available (Why is that?)
- Title not available (Why is that?)
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- Extremal behavior of diagonal and Bertino copulas
- Testing for a \(\delta \)-neighborhood of a generalized Pareto copula
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- A test for Archimedeanity in bivariate copula models
- Inference in multivariate Archimedean copula models
- On an interaction function for copulas
- On a bivariate copula with both upper and lower full-range tail dependence
- Tail negative dependence and its applications for aggregate loss modeling
- Inequalities for Gaussian random variables under Archimedean copula dependence
- Title not available (Why is that?)
- Multivariate Archimax copulas
- The multivariate piecing-together approach revisited
- Asymptotic properties of extremal Markov processes driven by Kendall convolution
- On the asymptotic covariance of the multivariate empirical copula process
- Right-truncated Archimedean and related copulas
- Extreme semilinear copulas
- How exceptional is the extremal Kendall and Kendall-type convolution
- The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure
- Title not available (Why is that?)
- Inference for Archimax copulas
- On the class of truncation invariant bivariate copulas under constraints
- Extremal attractors of Liouville copulas
- When a copula is Archimax
- Characterization of multivariate heavy-tailed distribution families via copula
- On the class of bivariate Archimax copulas under constraints
- Strength of tail dependence based on conditional tail expectation
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- Copulas, diagonals, and tail dependence
- Ordering extremes of scale random variables under Archimedean copula
- Multivariate risk models under heavy-tailed risks
- Extremes and regular variation
- Partial and average copulas and association measures
- Some applications of the Archimedean copulas in the proof of the almost sure central limit theorem for ordinary maxima
- Archimedean copulas, exchangeability, and max-stability
- From Archimedean to Liouville copulas
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