A Note on Upper Tail Behavior of Liouville Copulas
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References listed on IDEAS
- Li, Haijun & Wu, Peiling, 2013. "Extremal dependence of copulas: A tail density approach," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 99-111.
- Hua, Lei, 2015. "Tail negative dependence and its applications for aggregate loss modeling," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 135-145.
- Alexandra Ramos & Anthony Ledford, 2009. "A new class of models for bivariate joint tails," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(1), pages 219-241.
- Li, Haijun & Hua, Lei, 2015. "Higher order tail densities of copulas and hidden regular variation," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 143-155.
- Saralees Nadarajah & Samuel Kotz*, 2005. "On the Product and Ratio of Gamma and Beta Random Variables," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 89(4), pages 435-449, November.
- Hua, Lei & Joe, Harry, 2011. "Tail order and intermediate tail dependence of multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1454-1471, November.
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- repec:eee:jmvana:v:160:y:2017:i:c:p:68-92 is not listed on IDEAS
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Keywordstail order; tail order functions; tail order density; dirichlet distributions; scale mixtures;
- C - Mathematical and Quantitative Methods
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
- M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
- M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
- K2 - Law and Economics - - Regulation and Business Law
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