Tail Risk of Multivariate Regular Variation |
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Authors: | Harry?Joe Email author" target="_blank">Haijun?LiEmail author |
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Institution: | 1.Department of Statistics,University of British Columbia,Vancouver,Canada;2.Department of Mathematics,Washington State University,Pullman,USA |
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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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Keywords: | |
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