Journal
INSURANCE MATHEMATICS & ECONOMICS
Volume 37, Issue 1, Pages 80-100Publisher
ELSEVIER
DOI: 10.1016/j.insmatheco.2005.05.008
Keywords
tail dependence; tail-dependence coefficient; copula; extreme value theory; estimation; simulation
Ask authors/readers for more resources
The concept of tail dependence describes the amount of dependence in the lower-left-quadrant tail or upper-right-quadrant tail of a bivariate distribution. A common measure of tail dependence is given by the so-called tail-dependence coefficient. This paper surveys various estimators for the tail-dependence coefficient within a parametric, semiparametric, and nonparametric framework. Further, a detailed simulation study is provided which compares and illustrates the advantages and disadvantages of the estimators. (c) 2005 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available