On uniform tail expansions of multivariate copulas and wide convergence of measures
On uniform tail expansions of multivariate copulas and wide convergence of measures
复制标题
关于多元联结函数的均匀尾部扩展和测度的广泛收敛
DOI：
10.4064/am33-2-3
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发表时间：
2006
影响因子：
--
通讯作者：
P. Jaworski
中科院分区：
文献类型：
--
作者：
P. Jaworski
Copula理论为风险管理中的相关性建模提供了一个有用的工具。在保险和金融，以及在其他应用中，极端事件的依赖性是特别重要的，因此有必要进行详细的研究的尾部行为的多变量Copula。本文研究了一类具有正则尾的Copula函数的一致展开式。给出了一致尾展开式的几个等价刻画。其次，在此基础上，我们确定了此类展开式的所有可能的前导部分的类;我们计算了文献中流行的copula的前导部分，并讨论了尾部展开式的统计方面。
The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for a detailed study of the tail behaviour of multivariate copulas. We investigate the class of copulas having regular tails with a uniform expansion. We present several equivalent characterizations of uniform tail expansions. Next, basing on them, we determine the class of all possible leading parts of such expansions; we compute the leading parts of copulas popular in the literature, and discuss the statistical aspects of tail expansions.