Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures

Lei Hua and Harry Joe

Insurance: Mathematics and Economics, 2012, vol. 51, issue 2, 492-503

Abstract: We investigate properties of a version of tail comonotonicity that can be applied to absolutely continuous distributions, and give several methods for constructions of multivariate distributions with tail comonotonicity or strongest tail dependence. Archimedean copulas as mixtures of powers, and scale mixtures of a non-negative random vector with the mixing distribution having slowly varying tails, lead to a tail comonotonic dependence structure. For random variables that are in the maximum domain of attraction of either Fréchet or Gumbel, we prove the asymptotic additivity property of Value at Risk and Conditional Tail Expectation.

Keywords: Copula; Archimedean copula; Asymptotic full dependence; Regularly varying; Slowly varying; Extreme value distributions; Elliptical distributions (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:2:p:492-503

DOI: 10.1016/j.insmatheco.2012.07.006

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