The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for a detailed study of the tail behaviour of multivariate copulas. We investigate the class of copulas having regular tails with a uniform expansion. We present several equivalent characterizations of uniform tail expansions. Next, basing on them, we determine the class of all possible leading parts of such expansions; we compute the leading parts of copulas popular in the literature, and discuss the statistical aspects of tail expansions.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am33-2-3,
author = {Piotr Jaworski},
title = {On uniform tail expansions of multivariate copulas and wide convergence of measures},
journal = {Applicationes Mathematicae},
volume = {33},
year = {2006},
pages = {159-184},
zbl = {1102.62053},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am33-2-3}
}
Piotr Jaworski. On uniform tail expansions of multivariate copulas and wide convergence of measures. Applicationes Mathematicae, Tome 33 (2006) pp. 159-184. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am33-2-3/