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LEI HUA, University of British Columbia

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Tail dependence and its influence on risk measures
When
02 February 2012 from 4:00 PM to 5:00 PM
Where
201 Thomas Bldg.
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Tail dependence and tail asymmetry are often observed in multivariate insurance and financial data. When using copula to account for those tail patterns, a fundamental task in risk management is to understand the tail behavior of copula and its influence on risk measures such as Conditional Tail Expectation (CTE) and Value at Risk (VaR). We propose to use tail order and tail order parameters to quantify the strength of tail dependence. Then concepts of intermediate tail dependence and tail comonotonicity will be proposed; the former can provide a wide range of tail dependence and the latter may lead to a data-driven conservative dependence structure. For these two tail dependence structures, relevant theoretical results, simulations and applications with insurance data will be presented.

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