PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE

DOI10.1017/asb.2015.10zbMath1390.62089arXiv1405.1326OpenAlexW3121767812MaRDI QIDQ4563753

Jianxi Su, Ričardas Zitikis, Edward Furman

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.1326

zbMATH Keywords

copulatail dependencemultivariate distributionenterprise risk managementmaximal dependencemultivariate Paretofatal shock

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items (10)

Tail dependence of the Gaussian copula revisited ⋮ Multiple risk factor dependence structures: copulas and related properties ⋮ Shock models with dependence and asymmetric linkages ⋮ Modeling bivariate data using linear exponential and Weibull distributions as marginals ⋮ On the worst and least possible asymptotic dependence ⋮ Measuring non-exchangeable tail dependence using tail copulas ⋮ Tail maximal dependence in bivariate models: estimation and applications ⋮ A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE ⋮ Assessing bivariate tail non-exchangeable dependence ⋮ A tail-revisited Markowitz mean-variance approach and a portfolio network centrality

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