Journal article
Tail Risk of Multivariate Regular Variation
Methodology and computing in applied probability, Vol.13(4), pp.671-693
12/2011
Handle:
https://hdl.handle.net/2376/106353
Abstract
Tail risk refers to the risk associated with extreme values and is often affected by extremal dependence among multivariate extremes. Multivariate tail risk, as measured by a coherent risk measure of tail conditional expectation, is analyzed for multivariate regularly varying distributions. Asymptotic expressions for tail risk are established in terms of the intensity measure that characterizes multivariate regular variation. Tractable bounds for tail risk are derived in terms of the tail dependence function that describes extremal dependence. Various examples involving Archimedean copulas are presented to illustrate the results and quality of the bounds.
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Details
- Title
- Tail Risk of Multivariate Regular Variation
- Creators
- Harry Joe - Department of Statistics University of British Columbia Vancouver BC V6T 1Z2 CanadaHaijun Li - Department of Mathematics Washington State University Pullman WA 99164 USA
- Publication Details
- Methodology and computing in applied probability, Vol.13(4), pp.671-693
- Academic Unit
- Mathematics and Statistics, Department of
- Publisher
- Springer US; Boston
- Identifiers
- 99900546763401842
- Language
- English
- Resource Type
- Journal article