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

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

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

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

00:00:00 / 00:00:00

5 5

On tail dependence coefficients of transformed multivariate Archimedean copulas

De 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.

Informations sur la vidéo

Date de captation 25/02/2016
Date de publication 08/03/2016
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Audience Chercheurs
Réalisateur(s) Guillaume Hennenfent
Format MP4

Données de citation

DOI 10.24350/CIRM.V.18934503
Citer cette vidéo 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

Domaine(s)

Bibliographie

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

Codes MSC

Dernières questions liées sur MathOverflow

Pour poser une question, votre compte Carmin.tv doit être connecté à mathoverflow

Poser une question sur MathOverflow

Toutes les vidéos de la collection

24:37

publiée le 8 mars 2016

Fractional Poisson process: long-range dependence and applications in ruin theory

De Romain Biard

26:55

publiée le 8 mars 2016

A measure of dependence for stable distributions

De John P. Nolan

33:01

publiée le 10 mars 2016

Copulas based inference for discrete or mixed data

De Bruno Rémillard

29:53

publiée le 8 mars 2016

Discrete Schur-constant models in inssurance

De Claude Lefèvre

29:38

publiée le 8 mars 2016

On tail dependence coefficients of transformed multivariate Archimedean copulas

De Elena Di Bernardino

Copyright Carmin.tv 2024

Donner son avis