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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

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

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

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

On a bivariate copula with both upper and lower full-range tail dependence

JOURNAL ARTICLE published March 2017 in Insurance: Mathematics and Economics

Authors: Lei Hua

https://doi.org/10.1016/j.insmatheco.2017.01.003 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

Tail dependence and heavy tailedness in extreme risks

JOURNAL ARTICLE published July 2021 in Insurance: Mathematics and Economics

Authors: Liuyan Ji | Ken Seng Tan | Fan Yang

https://doi.org/10.1016/j.insmatheco.2021.03.016 Actions

Distorted Mix Method for constructing copulas with tail dependence

JOURNAL ARTICLE published July 2014 in Insurance: Mathematics and Economics

Research funded by Research Grants Council of the Hong Kong Special Administrative Region (HKU 7057/13P) | National Natural Science Foundation of China (11131002,11271033)

Authors: Lujun Li | K.C. Yuen | Jingping Yang

https://doi.org/10.1016/j.insmatheco.2014.05.002 Actions

Tail dependence of the Gaussian copula revisited

JOURNAL ARTICLE published July 2016 in Insurance: Mathematics and Economics

Authors: Edward Furman | Alexey Kuznetsov | Jianxi Su | Ričardas Zitikis

https://doi.org/10.1016/j.insmatheco.2016.04.009 Actions

Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence

JOURNAL ARTICLE published December 2005 in Insurance: Mathematics and Economics

Authors: Guy Jumarie

https://doi.org/10.1016/j.insmatheco.2005.06.003 Actions

Pitfalls and merits of cointegration-based mortality models

JOURNAL ARTICLE published January 2020 in Insurance: Mathematics and Economics

Authors: Søren F. Jarner | Snorre Jallbjørn

https://doi.org/10.1016/j.insmatheco.2019.10.005 Actions

Estimating and backtesting risk under heavy tails

JOURNAL ARTICLE published May 2022 in Insurance: Mathematics and Economics

Research funded by Deutsche Forschungsgemeinschaft (SCHM 2160/13-1) | Narodowe Centrum Nauki (2016/23/B/ST1/00479)

Authors: Marcin Pitera | Thorsten Schmidt

https://doi.org/10.1016/j.insmatheco.2022.01.006 Actions

Estimating the adjustment coefficient in an ARMA(p, q) risk model

JOURNAL ARTICLE published October 1995 in Insurance: Mathematics and Economics

Authors: Ralf Christ | Josef Steinebach

https://doi.org/10.1016/0167-6687(95)00017-m Actions
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