Lower tail dependence for Archimedean copulas: characterizations and pitfalls

DOI10.1016/j.insmatheco.2006.08.004zbMath1183.62086OpenAlexW3122206023MaRDI QIDQ882478

Johan Segers, Arthur Charpentier

Publication date: 23 May 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://pure.uvt.nl/portal/en/publications/lower-tail-dependence-for-archimedean-copulas(ae669e5a-1929-42d9-b137-612af175d725).html

zbMATH Keywords

regular variationtail dependencede Haan class

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (26)

A note on upper-patched generators for Archimedean copulas ⋮ Estimating a bivariate tail: a copula based approach ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ Tail dependence for regularly varying time series ⋮ Do stock returns have an Archimedean copula? ⋮ Archimedean copulas in finite and infinite dimensions -- with application to ruin problems ⋮ Asymptotics of random contractions ⋮ Extremal behavior of Archimedean copulas ⋮ ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE ⋮ Construction of asymmetric multivariate copulas ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ Copulas, diagonals, and tail dependence ⋮ Convergence of Archimedean copulas ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ Distorted Copulas: Constructions and Tail Dependence ⋮ Right-truncated Archimedean and related copulas ⋮ Flexible modeling based on copulas in nonparametric median regression ⋮ Unnamed Item ⋮ Tails of multivariate Archimedean copulas ⋮ Statistical analysis of dependent competing risks model in accelerated life testing under progressively hybrid censoring using copula function ⋮ Spatial contagion between financial markets: a copula-based approach ⋮ Copulas with Truncation-Invariance Property ⋮ Limiting Tail Dependence Copulas ⋮ Absolutely Continuous Copulas with Given Diagonal Sections ⋮ Bivariate survival models with Clayton aging functions ⋮ On beta-product convolutions

Cites Work

• Unnamed Item
• An introduction to copulas.
• A probabilistic interpretation of complete monotonicity
• Fitting bivariate loss distributions with copulas
• Copula convergence theorems for tail events.
• Archimedean copulae and positive dependence
• Tail dependence from a distributional point of view
• Convergence of Archimedean copulas
• Bivariate survival models with Clayton aging functions
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Limiting dependence structures for tail events, with applications to credit derivatives
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Understanding Relationships Using Copulas
• On the preservation of copula structure under truncation

This page was built for publication: Lower tail dependence for Archimedean copulas: characterizations and pitfalls