# PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE

@article{Furman2014PATHSAI, title={PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE}, author={Edward Furman and Jianxi Su and Ri{\vc}ardas Zitikis}, journal={ASTIN Bulletin}, year={2014}, volume={45}, pages={661 - 678} }

Abstract We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with the new paradigm of prudent risk management. This phenomenon holds in the context of both symmetric and asymmetric copulas with and without singularities. As a remedy, we introduce a notion of paths of maximal (tail) dependence and utilize the…

## 18 Citations

### Tail Dependence of the Gaussian Copula Revisited

- Computer Science
- 2016

It is proved that the classical measures of tail dependence in copulas are maximal, and, in spite of the numerous criticisms, the Gaussian copula remains ubiquitous in a great variety of practical applications.

### Global and Tail Dependence: A Differential Geometry Approach

- Mathematics
- 2021

Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based…

### Tail Maximal Dependence in Bivariate Models: Estimation and Applications

- EconomicsMathematical Methods of Statistics
- 2022

Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such…

### Measuring non-exchangeable tail dependence using tail copulas

- BusinessASTIN Bulletin
- 2023

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…

### Multiple Risk Factor Dependence Structures: Copulas and Related Properties

- Computer Science
- 2016

This paper introduces and study a new class of Multiple Risk Factor (MRF) copula functions, which it is shown are exactly such, and turns out to be surprisingly tractable analytically.

### A Statistical Methodology for Assessing the Maximal Strength of Tail Dependence

- MathematicsASTIN Bulletin
- 2020

Several diagonal-based tail dependence indices have been suggested in the literature to quantify tail dependence. They have well-developed statistical inference theories but tend to underestimate…

### Assessing Maximal Dependence Within Extreme Co-Movements of Financial Instruments

- Economics
- 2020

Assessing dependence within extreme co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such…

### A new class of tail dependence measures and their maximization

- Mathematics
- 2021

A new class of measures of bivariate tail dependence is proposed, which is defined as a limit of a measure of concordance of the underlying copula restricted to the tail region of interest. The…

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