On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix

The tail dependence parameter matrix (TDPM) of a rv (X1,…,Xd) has entries χ(i,j)=limc↑1P(Xj>Fj-1(c)|Xi>Fi-1(c)), i,j⩽d, where Fk denotes the distribution function of Xk. We provide an algorithm, which generates (X1,…,Xd) with joint multivariate extreme value distribution and prescribed TDPM.