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Estimating the tail-dependence coefficient: Properties and pitfalls

JOURNAL ARTICLE published August 2005 in Insurance: Mathematics and Economics

Authors: Gabriel Frahm | Markus Junker | Rafael Schmidt

https://doi.org/10.1016/j.insmatheco.2005.05.008 Actions

Tail Dependence

BOOK CHAPTER published in Statistical Tools for Finance and Insurance

Authors: Rafael Schmidt

https://doi.org/10.1007/3-540-27395-6_3 Actions

Lower tail dependence for Archimedean copulas: Characterizations and pitfalls

JOURNAL ARTICLE published May 2007 in Insurance: Mathematics and Economics

Authors: Arthur Charpentier | Johan Segers

https://doi.org/10.1016/j.insmatheco.2006.08.004 Actions

Modelling total tail dependence along diagonals

JOURNAL ARTICLE published February 2008 in Insurance: Mathematics and Economics

Authors: Ming-Heng Zhang

https://doi.org/10.1016/j.insmatheco.2007.01.002 Actions

Robust and bias-corrected estimation of the coefficient of tail dependence

JOURNAL ARTICLE published July 2014 in Insurance: Mathematics and Economics

Research funded by VILLUM FONDEN (VKR023480)

Authors: Christophe Dutang | Yuri Goegebeur | Armelle Guillou

https://doi.org/10.1016/j.insmatheco.2014.05.003 Actions

THE PROPERTIES OF A NEW ESTIMATOR FOR THE COEFFICIENT OF TAIL DEPENDENCE IN TWO DIMENSIONAL EXTREME-VALUE

BOOK CHAPTER published July 2005 in Wavelet Analysis and Active Media Technology

Authors: SONGLIN WU | DUZHI WU

https://doi.org/10.1142/9789812701695_0154 Actions

Erratum to: “Risk models with dependence between claim occurrences and severities for Atlantic hurricanes” [Insurance Math. Econom. 54 (2014) 123–132]

JOURNAL ARTICLE published March 2015 in Insurance: Mathematics and Economics

Authors: Mathieu Boudreault | Hélène Cossette | Étienne Marceau

https://doi.org/10.1016/j.insmatheco.2014.12.005 Actions

TAIL DEPENDENCE OF OLS

JOURNAL ARTICLE published April 2022 in Econometric Theory

Authors: Jochem Oorschot | Chen Zhou

https://doi.org/10.1017/s0266466621000311 Actions

Estimating Tail Dependence and Testing for Contagion Using Tail Indices

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Carmela Quintos

https://doi.org/10.2139/ssrn.281210 Actions

Analysis of dependence for stocks using tail dependence coefficient

PROCEEDINGS ARTICLE published May 2011 in 2011 International Conference on Business Management and Electronic Information

Authors: Shide Ou

https://doi.org/10.1109/icbmei.2011.5917036 Actions

Some notions of multivariate positive dependence

JOURNAL ARTICLE published August 2005 in Insurance: Mathematics and Economics

Authors: Antonio Colangelo | Marco Scarsini | Moshe Shaked

https://doi.org/10.1016/j.insmatheco.2004.09.004 Actions

Estimating the extremal index through the tail dependence concept

JOURNAL ARTICLE published 2015 in Discussiones Mathematicae Probability and Statistics

Authors: Marta Ferreira

https://doi.org/10.7151/dmps.1173 Actions

Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Arthur Charpentier | Johan Segers

https://doi.org/10.2139/ssrn.900114 Actions

Tail-weighted dependence measures with limit being the tail dependence coefficient

JOURNAL ARTICLE published 3 April 2018 in Journal of Nonparametric Statistics

Research funded by NSERC (8698)

Authors: David Lee | Harry Joe | Pavel Krupskii

https://doi.org/10.1080/10485252.2017.1407414 Actions

On the extremal dependence coefficient of multivariate distributions

JOURNAL ARTICLE published August 2006 in Statistics & Probability Letters

Authors: Gabriel Frahm

https://doi.org/10.1016/j.spl.2006.03.006 Actions

Tail negative dependence and its applications for aggregate loss modeling

JOURNAL ARTICLE published March 2015 in Insurance: Mathematics and Economics

Authors: Lei Hua

https://doi.org/10.1016/j.insmatheco.2015.01.001 Actions

A general approach to full-range tail dependence copulas

JOURNAL ARTICLE published November 2017 in Insurance: Mathematics and Economics

Authors: Jianxi Su | Lei Hua

https://doi.org/10.1016/j.insmatheco.2017.08.009 Actions

Interval estimation for a measure of tail dependence

JOURNAL ARTICLE published September 2015 in Insurance: Mathematics and Economics

Authors: Aiai Liu | Yanxi Hou | Liang Peng

https://doi.org/10.1016/j.insmatheco.2015.05.014 Actions

Tail dependence for multivariate t -copulas and its monotonicity

JOURNAL ARTICLE published April 2008 in Insurance: Mathematics and Economics

Authors: Yin Chan | Haijun Li

https://doi.org/10.1016/j.insmatheco.2007.08.008 Actions

A bootstrap procedure for estimating the adjustment coefficient

JOURNAL ARTICLE published December 1991 in Insurance: Mathematics and Economics

Authors: Paul Embrechts | Thomas Mikosch

https://doi.org/10.1016/0167-6687(91)90048-3 Actions
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