On uniform tail expansions of bivariate copulas

DOI10.4064/am31-4-2zbMath1051.62045MaRDI 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

copulas; portfolio theory; risk management; fat tails; dependence of extreme events

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G32: Statistics of extreme values; tail inference

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