Thematic month on statistics - Week 4: Extremes, copulas and actuarial science / Mois thématique sur les statistiques - Semaine 4 : Extrêmes, copules et actuariat

Collection Thematic month on statistics - Week 4: Extremes, copulas and actuarial science / Mois thématique sur les statistiques - Semaine 4 : Extrêmes, copules et actuariat

Organizer(s) Boutahar, Mohamed ; Pommeret, Denys ; Royer-Carenzi, Manuela

Date(s) 22/02/2016 - 26/02/2016

linked URL http://conferences.cirm-math.fr/1618.html

00:00:00 / 00:00:00

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On tail dependence coefficients of transformed multivariate Archimedean copulas

By Elena Di Bernardino

This work presents the impact of a class of transformations of copulas in their upper and lower multivariate tail dependence coefficients. In particular we focus on multivariate Archimedean copulas. In the first part, we calculate multivariate transformed tail dependence coefficients when the generator of the considered transformed copula exhibits some regular variation properties, and we investigate the behavior of these coefficients in cases that are close to tail independence. We obtain new results under specific conditions involving regularly varying hazard rates of components of the transformation. These results are also valid for non-transformed Archimedean copulas. In the second part we deal with a class of particular hyperbolic transformations. We show the utility of using transformed Archimedean copulas, as they permit to build Archimedean generators exhibiting any chosen couple of lower and upper tail dependence coefficients.

Information about the video

Date of recording 25/02/2016
Date of publication 08/03/2016
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.18934503
Cite this video Di Bernardino, Elena (25/02/2016). On tail dependence coefficients of transformed multivariate Archimedean copulas. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.18934503
URL https://dx.doi.org/10.24350/CIRM.V.18934503

Domain(s)

Bibliography

Di Bernardino, E., & Rullière, D. (2016). On tail dependence coefficients of transformed multivariate Archimedean copulas. Fuzzy Sets and Systems, 284(1), 89-112 - http://dx.doi.org/10.1016/j.fss.2015.08.030

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