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Conditional tail independence in Archimedean copula models

  • Michael Falk (a1), Simone A. Padoan (a2) and Florian Wisheckel (a1)

Abstract

Consider a random vector $\textbf{U}$ whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of $\textbf{U}$ , conditional on one of its components, has under a mild condition on the generator function independent upper tails, no matter what the unconditional tail behavior is. This finding is extended to Archimax copulas.

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Corresponding author

* Postal address: Chair of Mathematics VIII, University of Würzburg, Emil-Fischer-Str. 30, 97074 Würzburg, Germany.
*** Postal address: Department of Decision Sciences, Bocconi University of Milan, via Roentgen, 1 20136 Milan, Italy.
****Email address: simone.padoan@unibocconi.it

References

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Conditional tail independence in Archimedean copula models

  • Michael Falk (a1), Simone A. Padoan (a2) and Florian Wisheckel (a1)

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