Diversification for general copula dependence

Stan Alink, Matthias Löwe and Mario V. Wüthrich

Statistica Neerlandica, 2007, vol. 61, issue 4, 446-465

Abstract: We generalize the extreme value analysis for Archimedean copulas (see Alink, Löwe and Wüthrich, 2003) to the non‐Archimedean case: Assume we have d≥2 exchangeable and continuously distributed risks X1,…,Xd. Under appropriate assumptions there is a constant qd such that, for all large u, we have . The constant qd describes the asymptotic dependence structure. Typically, qd will depend on more aspects of this dependence structure than the well‐known tail dependence coefficient.

Date: 2007
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