On the worst and least possible asymptotic dependence

DOI10.1016/J.JMVA.2015.11.004zbMATH Open1329.60144OpenAlexW3122171988MaRDI QIDQ901291FDOQ901291

Authors: Alexandru V. Asimit, Russell Gerrard 

Publication date: 23 December 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.11.004

Recommendations

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zbMATH Keywords

copulaextreme value theoryregular variationrisk measureasymptotic dependence/independenceGumbel tail

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

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• Heavy-Tail Phenomena
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• Asymptotically unbiased estimation of the coefficient of tail dependence
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Asymptotic results for the sum of dependent non-identically distributed random variables
• Tail order and intermediate tail dependence of multivariate copulas
• Bounds for functions of multivariate risks
• PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
• Statistical models and methods for dependence in insurance data
• Bounds for functions of dependent risks
• Diversification for general copula dependence
• Worst VaR scenarios

Cited In (4)

• The Extremal Dependence Measure and Asymptotic Independence
• Systemic risk: conditional distortion risk measures
• A simulation-based method for estimating systemic risk measures
• Measuring the tail risk: an asymptotic approach

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