Tail dependence and heavy tailedness in extreme risks
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DOI: 10.1016/j.insmatheco.2021.03.016
Abstract: Abstract In the modeling of multivariate extreme risks, the tail dependence and the heavy tailedness are the two key factors. Heavy tailedness are usually defined through the regular variation. Tail dependence can be modeled by… read more here.
Keywords: extreme risks; dependence; heavy tailedness; dependence heavy ... See more keywords