An order of asymmetry in copulas, and implications for risk management

Karl Friedrich Siburg, Katharina Stehling, Pavel A. Stoimenov and Gregor N.F. Weiß

Insurance: Mathematics and Economics, 2016, vol. 68, issue C, 241-247

Abstract: We study symmetry properties of bivariate copulas. For this, we introduce an order of asymmetry, as well as measures of asymmetry which are monotone in that order. In an empirical study, we illustrate that asymmetric dependence structures do indeed occur in financial market data and discuss its relevance for financial risk management.

Keywords: Asymmetry; Exchangeability; Copula; Diversification; Dependence modeling (search for similar items in EconPapers)
JEL-codes: C00 C58 G17 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668716301068
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:68:y:2016:i:c:p:241-247

DOI: 10.1016/j.insmatheco.2016.03.008

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().