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Open AccessFeature PaperArticle

A Note on Upper Tail Behavior of Liouville Copulas

by
Division of Statistics, Northern Illinois University, DeKalb, IL 60115, USA
Academic Editor: Qihe Tang
Risks 2016, 4(4), 40; https://doi.org/10.3390/risks4040040
Received: 15 September 2016 / Revised: 4 October 2016 / Accepted: 3 November 2016 / Published: 8 November 2016
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-Text
Keywords: tail order; tail order functions; tail order density; dirichlet distributions; scale mixtures tail order; tail order functions; tail order density; dirichlet distributions; scale mixtures
MDPI and ACS Style

Hua, L. A Note on Upper Tail Behavior of Liouville Copulas. Risks 2016, 4, 40.

AMA Style

Hua L. A Note on Upper Tail Behavior of Liouville Copulas. Risks. 2016; 4(4):40.

Chicago/Turabian Style

Hua, Lei. 2016. "A Note on Upper Tail Behavior of Liouville Copulas" Risks 4, no. 4: 40.

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Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

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