Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9552933 | Insurance: Mathematics and Economics | 2005 | 21 Pages |
Abstract
The concept of tail dependence describes the amount of dependence in the lower-left-quadrant tail or upper-right-quadrant tail of a bivariate distribution. A common measure of tail dependence is given by the so-called tail-dependence coefficient. This paper surveys various estimators for the tail-dependence coefficient within a parametric, semiparametric, and nonparametric framework. Further, a detailed simulation study is provided which compares and illustrates the advantages and disadvantages of the estimators.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Gabriel Frahm, Markus Junker, Rafael Schmidt,