Tail comonotonicity and conservative risk measures

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<dc:creator>Hua, Lei</dc:creator>
<dc:date>2012-11-05</dc:date>
<dc:description xml:lang="es">Sumario: Tail comonotonicity, or asymptotic full dependence, is proposed as a reasonable conservative dependence structure for modeling dependent risks. Some sufficient conditions have been obtained to justify the conservativity of tail comonotonicity. Simulation studies also suggest that, by using tail comonotonicity, one does not lose too much accuracy but gain reasonable conservative risk measures, especially when considering high scenario risks. A copula model with tail comonotonicity is applied to an auto insurance dataset. Particular models for tail comonotonicity for loss data can be based on the BB2 and BB3 copula families and their multivariate extensions.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/141739.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Tail comonotonicity and conservative risk measures</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 05/11/2012 Volumen 42 Número 2  - noviembre 2012 </dc:relation>
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