Comparing and quantifying tail dependence

DOI10.1016/J.INSMATHECO.2024.06.006MaRDI QIDQ6607486zbMATH OpenFDO

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)

zbMATH Keywords

measure of dependencetail dependencedependence modelling

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Financial markets (91G15)

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Cites work

• An order of asymmetry in copulas, and implications for risk management
• Asymptotics of joint maxima for discontinuous random variables
• 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
• Modeling Dependence in High Dimensions With Factor Copulas
• Modelling total tail dependence along diagonals
• Non-parametric Estimation of Tail Dependence
• On a bivariate copula with both upper and lower full-range tail dependence
• On the extremal dependence coefficient of multivariate distributions
• Risk- and value-based management for non-life insurers under solvency constraints
• Stochastic orders
• Tail dependence and heavy tailedness in extreme risks
• Tail negative dependence and its applications for aggregate loss modeling
• Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
• Two-Sample Testing for Tail Copulas with an Application to Equity Indices

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