Risks 2016, 4(4), 40; https://doi.org/10.3390/risks4040040
A Note on Upper Tail Behavior of Liouville Copulas
Division of Statistics, Northern Illinois University, DeKalb, IL 60115, USA
Academic Editor: Qihe Tang
Received: 15 September 2016 / Revised: 4 October 2016 / Accepted: 3 November 2016 / Published: 8 November 2016
(This article belongs to the Special Issue Selected Papers from the 6th Gerber-Shiu Workshop and the 3rd Modeling of Heavy-Tail Phenomena Workshop)
Abstract
The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform. Liouville copulas provide a very wide range of dependence ranging from positive to negative dependence in the upper tails, and they can be useful in modeling tail risks. In this article, we study the upper tail behavior of Liouville copulas through their upper tail orders. Tail orders of a more general scale mixture model that covers Liouville distributions is first derived, and then tail order functions and tail order density functions of Liouville copulas are derived. Concrete examples are given after the main results. View Full-TextKeywords:
tail order; tail order functions; tail order density; dirichlet distributions; scale mixtures
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Hua, L. A Note on Upper Tail Behavior of Liouville Copulas. Risks 2016, 4, 40.
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