The Extremal Dependence Measure and Asymptotic Independence
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Publication:3157856
DOI10.1081/STM-120034129zbMath1054.62063MaRDI QIDQ3157856
Publication date: 19 January 2005
Published in: Stochastic Models (Search for Journal in Brave)
Multivariate analysis (62H99) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)
Related Items (22)
Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ ⋮ Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ Estimating an extreme Bayesian network via scalings ⋮ Multivariate extremes and the aggregation of dependent risks: examples and counter-examples ⋮ Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence ⋮ Extremal dependence measure and extremogram: the regularly varying case ⋮ Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions ⋮ On optimal portfolio diversification with respect to extreme risks ⋮ The influence of dependence on data network models ⋮ Hidden regular variation and the rank transform ⋮ Tail asymptotics for the sum of two heavy-tailed dependent risks ⋮ On the measurement and treatment of extremes in time series ⋮ Characterizations and examples of hidden regular variation ⋮ Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation ⋮ EXTREMAL DEPENDENCE: INTERNET TRAFFIC APPLICATIONS ⋮ Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed ⋮ On the Tail Behavior of Sums of Dependent Risks ⋮ Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness ⋮ Extremal dependence measure for functional data ⋮ Hidden Regular Variation and Detection of Hidden Risks ⋮ Asymptotic independence and support detection techniques for heavy-tailed multivariate data
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