比较和量化尾部依赖性

IF 1.9 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2024-06-26 DOI:10.1016/j.insmatheco.2024.06.006

Karl Friedrich Siburg , Christopher Strothmann , Gregor Weiß

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引用次数: 0

摘要

我们为随机变量之间的尾部依赖性引入了一种新的随机阶次。然后，我们研究了不同的尾部依赖性度量，这些度量在所提出的阶次中是单调的，从而扩展了文献中各种已知的尾部依赖性系数。我们在一项实证研究中应用了我们的概念，对 S&P 500 不同股票和指数对的尾部依赖性进行了调查，并说明了我们的尾部依赖性度量相对于经典尾部依赖性系数的优势。

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Comparing and quantifying tail dependence

We introduce a new stochastic order for the tail dependence between random variables. We then study different measures of tail dependence which are monotone in the proposed order, thereby extending various known tail dependence coefficients from the literature. We apply our concepts in an empirical study where we investigate the tail dependence for different pairs of S&P 500 stocks and indices, and illustrate the advantage of our measures of tail dependence over the classical tail dependence coefficient.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.