Extreme dependence of multivariate catastrophic losses

DOI10.1080/03461230600889645zbMath1151.91058OpenAlexW2009477267MaRDI QIDQ5430564

Christian Y. Robert, Laurence Lescourret

Publication date: 16 December 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230600889645

zbMATH Keywords

heavy-tailed distributionsextreme dependencemultivariate catastrophic lossesprobability of catastrophic events

Mathematics Subject Classification ID

Related Items (5)

Estimating a bivariate tail: a copula based approach ⋮ Pricing and simulating catastrophe risk bonds in a Markov-dependent environment ⋮ Univariate and bivariate GPD methods for predicting extreme wind storm losses ⋮ Asymptotic dependence of bivariate maxima ⋮ Extremes of scale mixtures of multivariate time series

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