Comparing and quantifying tail dependence
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Publication:6607486
DOI10.1016/J.INSMATHECO.2024.06.006zbMATH Open1544.91275MaRDI QIDQ6607486FDOQ6607486
Authors: Karl Friedrich Siburg, Christopher Strothmann, Gregor N. F. Weiß 
Publication date: 18 September 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Financial markets (91G15)
Cites Work
- Stochastic orders
- Asymptotics of joint maxima for discontinuous random variables
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- Modelling total tail dependence along diagonals
- An order of asymmetry in copulas, and implications for risk management
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- Tail negative dependence and its applications for aggregate loss modeling
- On the extremal dependence coefficient of multivariate distributions
- Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders
- Is Tail Risk Priced in Credit Default Swap Premia?
- Liquidity tail risk and credit default swap spreads
- Risk- and value-based management for non-life insurers under solvency constraints
- Tail dependence and heavy tailedness in extreme risks
- Two-Sample Testing for Tail Copulas with an Application to Equity Indices
- Modeling Dependence in High Dimensions With Factor Copulas
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
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