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＜preprint＞
Asymptotic tail dependence of the normal copula

Creator	Creator Name Kondo, Hiroki 近藤, 宏樹コンドウ, ヒロキ Affiliation Affiliation Name Nisshin Fire & Marine Insurance Company, Limited 日新火災海上保険株式会社
	Author PID K004060 Creator Name Saito, Shingo 斎藤, 新悟サイトウ, シンゴ Affiliation Affiliation Name Faculty of Mathematics, Kyushu University 九州大学大学院数理学研究院
	Author PID K001239 Creator Name Taniguchi, Setsuo 谷口, 説男タニグチ, セツオ Affiliation Affiliation Name Faculty of Mathematics, Kyushu University 九州大学大学院数理学研究院
Language	English
Publisher	Faculty of Mathematics, Kyushu University
Publisher	九州大学大学院数理学研究院
Date	2011-02-15
Source Title	MI Preprint Series
Vol	2011-2
Publication Type	Author's Original
Access Rights	open access
Related DOI	MI Preprint Series \|\| 2011-2 \|\| p1-15
Related DOI	http://www.math.kyushu-u.ac.jp/
Related URI	MI Preprint Series \|\| 2011-2 \|\| p1-15
Related URI	http://www.math.kyushu-u.ac.jp/
Relation	MI Preprint Series \|\| 2011-2 \|\| p1-15
Relation	http://www.math.kyushu-u.ac.jp/
Abstract	Copulas have lately attracted much attention as a tool for dealing with multiple risks that cannot be considered independent. The normal copula, widely used in practice, is known to have the same tail... dependence parameter as the product copula. The present paper brings into question the common interpretation of this fact as evidence that the normal copula lacks tail dependence, both by providing numerical examples and by mathematically determining the asymptotic behaviour of the tail dependence.show more

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Details

Record ID	18972
Peer-Reviewed	Unrefereed
Subject Terms	copula
	normal copula
	tail dependence
Notes	MI: Global COE Program Education-and-Research Hub for Mathematics-for-Industry
Notes	グローバルCOEプログラム「マス･フォア･インダストリ教育研究拠点」
Type	プレプリント
Created Date	2011.02.23
Modified Date	2018.02.13