Journal
INSURANCE MATHEMATICS & ECONOMICS
Volume 30, Issue 3, Pages 405-420Publisher
ELSEVIER
DOI: 10.1016/S0167-6687(02)00121-X
Keywords
archimedean copula; comonotonicity; Clayton copula; dependent risks; regular variation; tail dependence
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Tail dependence is studied from a distributional point of view by means of appropriate copulae. We derive similar results to the famous Pickands-Balkema-de Haan Theorem of Extreme Value Theory. Under regularity conditions, it is shown that the Clayton copula plays among the family of archimedean copulae the role of the generalized Pareto distribution. The practical usefulness of the results is illustrated in the analysis of stock market data. (C) 2002 Elsevier Science B.V. All rights reserved.
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