Category ASTIN / NON-LIFE Measuring Non-Exchangeable Tail Dependence Using MTCM and ATCM

Measuring Non-Exchangeable Tail Dependence Using MTCM and ATCM

uploaded September 1, 2023 Views: 40 Comments: 0 Favorite: 0 CPD

Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC) is known to underestimate the degree of tail dependence and it does not capture non-exchangeable tail dependence since it evaluates the limiting tail probability only along the main diagonal. To overcome these issues, two novel tail dependence measures called the maximal tail concordance measure (MTCM) and the average tail concordance measure (ATCM) are proposed. Both measures are constructed based on tail copulas and possess clear probabilistic interpretations, where the MTCM evaluates the largest limiting probability among all comparable rectangles in the tail, and the ATCM is a normalized average of these limiting probabilities. 

Categories: ASTIN / NON-LIFE
Content groups:  content2023


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