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	Distorted Mix Method for constructing copulas with tail dependence
	Li, Lujun ; Yuen, K. C. ; Yang, Jingping
	2014
关键词	Copula Distorted Mix Method Distortion function Tail dependence coefficient Tail dependence function ORDER-STATISTICS MULTIVARIATE BOUNDS MODELS RISK
英文摘要	This paper introduces a method for constructing copula functions by combining the ideas of distortion and convex sum, named Distorted Mix Method. The method mixes different copulas with distorted margins to construct new copula functions, and it enables us to model the dependence structure of risks by handling the central and tail parts separately. By applying the method we can modify the tail dependence of a given copula to any desired level measured by tail dependence function and tail dependence coefficients of marginal distributions. As an application, a tight bound for asymptotic Value-at-Risk of order statistics is obtained by using the method. An empirical study shows that copulas constructed by this method fit the empirical data of SPX 500 Index and FTSE 100 Index very well in both central and tail parts. (C) 2014 Elsevier B.V. All rights reserved.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000339536700008&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability; SCI(E); SSCI; 1; ARTICLE; lujun.li@pku.edu.cn; kcyuen@hku.hk; yangjp@math.pku.edu.cn; 77-89; 57
语种	英语
出处	SCI
出版者	insurance mathematics economics
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/247360]
专题	数学科学学院
推荐引用方式 GB/T 7714	Li, Lujun,Yuen, K. C.,Yang, Jingping. Distorted Mix Method for constructing copulas with tail dependence. 2014-01-01.

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