File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Measuring non-exchangeable tail dependence using tail copulas

TitleMeasuring non-exchangeable tail dependence using tail copulas
Authors
Issue Date28-Feb-2023
PublisherCambridge University Press
Citation
ASTIN Bulletin: The Journal of the IAA, 2023, v. 53, n. 2, p. 466-487 How to Cite?
Abstract

Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree of tail dependence and it does not capture non-exchangeable tail dependence since it evaluates the limiting tail probability only along the main diagonal. To overcome these issues, two novel tail dependence measures called the maximal tail concordance measure (MTCM) and the average tail concordance measure (ATCM) are proposed. Both measures are constructed based on tail copulas and possess clear probabilistic interpretations in that the MTCM evaluates the largest limiting probability among all comparable rectangles in the tail, and the ATCM is a normalized average of these limiting probabilities. In contrast to the TDC, the proposed measures can capture non-exchangeable tail dependence. Analytical forms of the proposed measures are also derived for various copulas. A real data analysis reveals striking tail dependence and tail non-exchangeability of the return series of stock indices, particularly in periods of financial distress.


Persistent Identifierhttp://hdl.handle.net/10722/330989
ISSN
2023 Impact Factor: 1.7
2023 SCImago Journal Rankings: 0.979

 

DC FieldValueLanguage
dc.contributor.authorKoike, T-
dc.contributor.authorKato, S-
dc.contributor.authorHofert, M-
dc.date.accessioned2023-09-21T06:51:48Z-
dc.date.available2023-09-21T06:51:48Z-
dc.date.issued2023-02-28-
dc.identifier.citationASTIN Bulletin: The Journal of the IAA, 2023, v. 53, n. 2, p. 466-487-
dc.identifier.issn0515-0361-
dc.identifier.urihttp://hdl.handle.net/10722/330989-
dc.description.abstract<p>Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree of tail dependence and it does not capture non-exchangeable tail dependence since it evaluates the limiting tail probability only along the main diagonal. To overcome these issues, two novel tail dependence measures called the maximal tail concordance measure (MTCM) and the average tail concordance measure (ATCM) are proposed. Both measures are constructed based on tail copulas and possess clear probabilistic interpretations in that the MTCM evaluates the largest limiting probability among all comparable rectangles in the tail, and the ATCM is a normalized average of these limiting probabilities. In contrast to the TDC, the proposed measures can capture non-exchangeable tail dependence. Analytical forms of the proposed measures are also derived for various copulas. A real data analysis reveals striking tail dependence and tail non-exchangeability of the return series of stock indices, particularly in periods of financial distress.</p>-
dc.languageeng-
dc.publisherCambridge University Press-
dc.relation.ispartofASTIN Bulletin: The Journal of the IAA-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.titleMeasuring non-exchangeable tail dependence using tail copulas-
dc.typeArticle-
dc.identifier.doi10.1017/asb.2023.4-
dc.identifier.volume53-
dc.identifier.issue2-
dc.identifier.spage466-
dc.identifier.epage487-
dc.identifier.eissn1783-1350-
dc.identifier.issnl0515-0361-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats