On uniform tail expansions of bivariate copulas

DOI10.4064/AM31-4-2zbMath1051.62045OpenAlexW2080551413MaRDI QIDQ4829427

Piotr Jaworski

Publication date: 29 November 2004

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am31-4-2

zbMATH Keywords

copulasportfolio theoryrisk managementfat tailsdependence of extreme events

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) 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 (11)

On truncation invariant copulas and their estimation ⋮ On copulas with a trapezoid support ⋮ Measuring non-exchangeable tail dependence using tail copulas ⋮ Invariant dependence structures and Archimedean copulas ⋮ On conditional value at risk (CoVaR) for tail-dependent copulas ⋮ Relations Between Hidden Regular Variation and the Tail Order of Copulas ⋮ A New Characterization of Bivariate Copulas ⋮ On the class of bivariate Archimax copulas under constraints ⋮ On the class of truncation invariant bivariate copulas under constraints ⋮ Toward a Copula Theory for Multivariate Regular Variation ⋮ Univariate conditioning of vine copulas

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