Asymptotic independence and support detection techniques for heavy-tailed multivariate data

Jaakko Lehtomaa and Sidney I. Resnick

Insurance: Mathematics and Economics, 2020, vol. 93, issue C, 262-277

Abstract: One of the central objectives of modern risk management is to find a set of risks where the probability of multiple simultaneous catastrophic events is negligible. That is, risks are taken only when their joint behavior seems sufficiently independent. This paper aims to identify asymptotically independent risks by providing tools for describing dependence structures of multiple risks when the individual risks can obtain very large values.

Keywords: Multivariate regular variation; Support estimation; Heavy-tailed; Asymptotic independence; Power law (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:93:y:2020:i:c:p:262-277

DOI: 10.1016/j.insmatheco.2020.05.002

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