Bernoulli and tail-dependence compatibility

DOI10.1214/15-AAP1128zbMath1385.60029arXiv1606.08212WikidataQ85715902 ScholiaQ85715902MaRDI QIDQ303963

Paul Embrechts, Ruodu Wang, Marius Hofert

Publication date: 23 August 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.08212

zbMATH Keywords

copulasmatricescompatibilitytail dependenceBernoulli random vectorsinsurance application

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Related Items (20)

The realization problem for tail correlation functions ⋮ \(t\)-copula from the viewpoint of tail dependence matrices ⋮ On attainability of Kendall's tau matrices and concordance signatures ⋮ On tail dependence matrices. The realization problem for parametric families ⋮ On structure, family and parameter estimation of hierarchical Archimedean copulas ⋮ Tail-dependence, exceedance sets, and metric embeddings ⋮ Measuring non-exchangeable tail dependence using tail copulas ⋮ Matrix compatibility and correlation mixture representation of generalized Gini's gamma ⋮ Copula modeling from Abe Sklar to the present day ⋮ Distributional compatibility for change of measures ⋮ A framework for measuring association of random vectors via collapsed random variables ⋮ Geometry of discrete copulas ⋮ Membership testing for Bernoulli and tail-dependence matrices ⋮ COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE ⋮ Behaviour of multivariate tail dependence coefficients ⋮ Compatible matrices of Spearman's rank correlation ⋮ Observations on industry practice in the construction of large correlation structures for risk and capital margins ⋮ Extremes and regular variation ⋮ Asymptotic independence and support detection techniques for heavy-tailed multivariate data ⋮ Copula-based measures of asymmetry between the lower and upper tail probabilities

Uses Software

• QRM

Cites Work

• Extreme value properties of multivariate \(t\) copulas
• A class of multivariate copulas with bivariate Fréchet marginal copulas
• Asymptotic results for the sum of dependent non-identically distributed random variables
• Construction of asymmetric multivariate copulas
• Characterization of dependence concepts in normal distributions
• The safest dependence structure among risks.
• Tail correlation functions of max-stable processes
• The realization problem for tail correlation functions
• An Introduction to Credit Risk Modeling
• Range of correlation matrices for dependent Bernoulli random variables
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Bernoulli and tail-dependence compatibility