Extreme-Value Copulas

Abstract

Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise naturally in the domain of extreme-value theory, they can also be a convenient choice to model general positive dependence structures. The aim of this survey is to present the reader with the state-of-the-art in dependence modeling via extreme-value copulas. Both probabilistic and statistical issues are reviewed, in a nonparametric as well as a parametric context.

20 pages, 3 figures. Minor revision, typos corrected. To appear in F. Durante, W. Haerdle, P. Jaworski, and T. Rychlik (editors) "Workshop on Copula Theory and its Applications", Lecture Notes in Statistics -- Proceedings, Springer 2010

References in corpus (1)

• Nonparametric estimation of an extreme-value copula in arbitrary dimensions

Cited by in corpus (2)

• Extreme-value copulas associated with the expected scaled maximum of independent random variables
• Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach