On uniform tail expansions of multivariate copulas and wide convergence of measures

• Autorzy: Piotr Jaworski
• Języki publikacji: EN

Abstrakty

EN

The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for a detailed study of the tail behaviour of multivariate copulas. We investigate the class of copulas having regular tails with a uniform expansion. We present several equivalent characterizations of uniform tail expansions. Next, basing on them, we determine the class of all possible leading parts of such expansions; we compute the leading parts of copulas popular in the literature, and discuss the statistical aspects of tail expansions.

Kategorie tematyczne

• 28C10: Set functions and measures on topological groups or semigroups, Haar measures, invariant measures
• 62H05: Characterization and structure theory
• 60B10: Convergence of probability measures
• 28A33: Spaces of measures, convergence of measures
• 60E05: Distributions: general theory
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2006
• Tom: 33
• Numer: 2
• Strony: 159-184

Daty

wydano

2006

Twórcy

autor

Piotr Jaworski

• Institute of Mathematics, Warsaw University, Banacha 2, 02-097 Warszawa, Poland

Identyfikatory

DOI

10.4064/am33-2-3