Estimating the tail-dependence coefficient: Properties and pitfalls

The concept of tail dependence describes the amount of dependence in the lower-left-quadrant tail or upper-right-quadrant tail of a bivariate distribution. A common measure of tail dependence is given by the so-called tail-dependence coefficient. This paper surveys various estimators for the tail-de...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2005-08, Vol.37 (1), p.80-100
Hauptverfasser: Frahm, Gabriel, Junker, Markus, Schmidt, Rafael
Format: Artikel
Sprache:eng
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Zusammenfassung:The concept of tail dependence describes the amount of dependence in the lower-left-quadrant tail or upper-right-quadrant tail of a bivariate distribution. A common measure of tail dependence is given by the so-called tail-dependence coefficient. This paper surveys various estimators for the tail-dependence coefficient within a parametric, semiparametric, and nonparametric framework. Further, a detailed simulation study is provided which compares and illustrates the advantages and disadvantages of the estimators.
ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2005.05.008