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

Piotr Jaworski. "On uniform tail expansions of multivariate copulas and wide convergence of measures." Applicationes Mathematicae 33.2 (2006): 159-184. <http://eudml.org/doc/279568>.

@article{PiotrJaworski2006,
abstract = {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.},
author = {Piotr Jaworski},
journal = {Applicationes Mathematicae},
keywords = {copulas; tails of probability distributions; dependence of extreme events; convergence of measures},
language = {eng},
number = {2},
pages = {159-184},
title = {On uniform tail expansions of multivariate copulas and wide convergence of measures},
url = {http://eudml.org/doc/279568},
volume = {33},
year = {2006},
}

TY - JOUR
AU - Piotr Jaworski
TI - On uniform tail expansions of multivariate copulas and wide convergence of measures
JO - Applicationes Mathematicae
PY - 2006
VL - 33
IS - 2
SP - 159
EP - 184
AB - 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.
LA - eng
KW - copulas; tails of probability distributions; dependence of extreme events; convergence of measures
UR - http://eudml.org/doc/279568
ER -