3 papers
math.ST2026
Measuring multivariate maximal tail dependence
Takaaki Koike, Marius Hofert, Haruki Tsunekawa
The classical tail dependence coefficient (TDC) may fail to capture non-exchangeable features of bivariate tail dependence since it evaluates the underlying copula only along the d…
q-fin.RM2026
Tail copula representation of path-based maximal tail dependence
Takaaki Koike, Marius Hofert, Haruki Tsunekawa
The classical tail dependence coefficient (TDC) may fail to capture non-exchangeable features of tail dependence due to its restrictive focus on the diagonal of the underlying copu…
q-fin.RM2026
Robust risk evaluation of joint life insurance under dependence uncertainty
Takaaki Koike
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertain…