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Lower Tail Dependence for Archimedean Copulas : Characterizations and Pitfalls

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  • Charpentier, A.
  • Segers, J.J.J.

    (Tilburg University, School of Economics and Management)

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  • Charpentier, A. & Segers, J.J.J., 2006. "Lower Tail Dependence for Archimedean Copulas : Characterizations and Pitfalls," Other publications TiSEM ae669e5a-1929-42d9-b137-6, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:ae669e5a-1929-42d9-b137-612af175d725
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/777911/29.pdf
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    References listed on IDEAS

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    1. Bäuerle, Nicole & Müller, Alfred, 1998. "Modeling and Comparing Dependencies in Multivariate Risk Portfolios," ASTIN Bulletin, Cambridge University Press, vol. 28(1), pages 59-76, May.
    2. Bassan, Bruno & Spizzichino, Fabio, 2005. "Bivariate survival models with Clayton aging functions," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 6-12, August.
    3. Arthur Charpentier & Alessandro Juri, 2004. "Limiting Dependence Structure for Credit Defaults," Working Papers 2004-16, Center for Research in Economics and Statistics.
    4. Klugman, Stuart A. & Parsa, Rahul, 1999. "Fitting bivariate loss distributions with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 139-148, March.
    5. Juri, Alessandro & Wuthrich, Mario V., 2002. "Copula convergence theorems for tail events," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 405-420, June.
    6. Charpentier, Arthur & Segers, Johan, 2008. "Convergence of Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 412-419, March.
    7. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
    8. Charpentier, A. & Segers, J.J.J., 2006. "Convergence of Archimedean Copulas," Other publications TiSEM 410237d0-4c38-48f6-8f36-6, Tilburg University, School of Economics and Management.
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    Cited by:

    1. Charpentier, Arthur & Segers, Johan, 2008. "Convergence of Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 412-419, March.

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