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North American Actuarial Journal Volume 18, 2014 - Issue 3
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Feature Articles

Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas

Lei HuaDivision of Statistics, Northern Illinois University, DeKalb, IllinoisCorrespondence[email protected]
&
Michelle XiaDivision of Statistics, Northern Illinois University, DeKalb, Illinois
Pages 363-378 | Published online: 07 May 2014

Citations (11)

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Read on this site (2)

Axel Bücher, Felix Irresberger & Gregor N. F. Weiss. (2017) Testing Asymmetry in Dependence with Copula-Coskewness. North American Actuarial Journal 21:2, pages 267-280.
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Zeinab Amin. (2016) Quantification of Operational Risk: A Scenario-Based Approach. North American Actuarial Journal 20:3, pages 286-297.
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Articles from other publishers (9)

Zhengxiao Li, Jan Beirlant & Liang Yang. (2022) A new class of copula regression models for modelling multivariate heavy-tailed data. Insurance: Mathematics and Economics 104, pages 243-261.
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Amine Lahiani, Ahmed jeribi & Nabila Boukef Jlassi. (2021) Nonlinear tail dependence in cryptocurrency-stock market returns: The role of Bitcoin futures. Research in International Business and Finance 56, pages 101351.
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Aviral Kumar Tiwari, Adeolu O. Adewuyi, Claudiu T. Albulescu & Mark E. Wohar. (2020) Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. The North American Journal of Economics and Finance 51, pages 101083.
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Jianxi Su & Lei Hua. (2017) A general approach to full-range tail dependence copulas. Insurance: Mathematics and Economics 77, pages 49-64.
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Lei Hua. (2017) On a bivariate copula with both upper and lower full-range tail dependence. Insurance: Mathematics and Economics 73, pages 94-104.
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Lei Hua. (2016) A Note on Upper Tail Behavior of Liouville Copulas. Risks 4:4, pages 40.
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Lei Hua. (2015) Tail negative dependence and its applications for aggregate loss modeling. Insurance: Mathematics and Economics 61, pages 135-145.
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Michelle XiaPaul Gustafson. (2014) Bayesian sensitivity analyses for hidden sub-populations in weighted sampling. Canadian Journal of Statistics 42:3, pages 436-450.
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Axel BBcher, Felix Irresberger & Gregor N. F. Weiss. (2016) Testing Asymmetry in Dependence with Copula-Coskewness. SSRN Electronic Journal.
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