On the worst and least possible asymptotic dependence

DOI10.1016/J.JMVA.2015.11.004MaRDI QIDQ901291zbMATHOpenAlexFDO

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

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)

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• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
• Worst VaR scenarios

Cited in

(4)

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

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