期刊
INSURANCE MATHEMATICS & ECONOMICS
卷 30, 期 3, 页码 405-420出版社
ELSEVIER
DOI: 10.1016/S0167-6687(02)00121-X
关键词
archimedean copula; comonotonicity; Clayton copula; dependent risks; regular variation; tail dependence
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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