• Corpus ID: 236882787

Measuring non-exchangeable tail dependence using tail copulas

  title={Measuring non-exchangeable tail dependence using tail copulas},
  author={Takaaki Koike and Shogo Kato and Marius Hofert},
Abstract Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree of tail dependence and it fails to capture non-exchangeable tail dependence since the TDC evaluates the limiting tail probability only along the main diagonal. To overcome these issues, two novel tail dependence measures called the maximal tail concordance measure (MTCM) and the average tail concordance… 
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