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)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.06.006

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)

Recommendations

• Tail dependence between order statistics
• The simple econometrics of tail dependence
• Measuring non-exchangeable tail dependence using tail copulas
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• Paths and indices of maximal tail dependence

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

Cited in

(2)

• The limiting distribution of a bivariate random vector under univariate truncation
• Quantile dependence: a generalization of upper and lower tail dependence

This page was built for publication: Comparing and quantifying tail dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6607486)