Conditional Tail Independence in Archimedean Copula Models

Abstract

Consider a random vector $U$, whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of $U$, 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.

17 pages