论文标题
多元尾巴依赖性和局部随机优势
Multivariate tail dependence and local stochastic dominance
论文作者
论文摘要
给定两个具有相应尾部依赖函数的多元copulas，我们研究了自然的尾部依赖顺序$ \ leq_ {tdo} $与本地随机主导地位的$ \ leq_ {loc} $之间的关系。我们表明，尽管两种顺序一般不等，但它们是各种重要类的Copulas的重合，其中包括所有多变量Archimedean和双变量较低的极值Copulas。我们通过与风险管理的影响来说明结果的相关性。
Given two multivariate copulas with corresponding tail dependence functions, we investigate the relation between a natural tail dependence ordering $\leq_{tdo}$ and the order $\leq_{loc}$ of local stochastic dominance. We show that, although the two orderings are not equivalent in general, they coincide for various important classes of copulas, among them all multivariate Archimedean and bivariate lower extreme value copulas. We illustrate the relevance of our results by an implication to risk management.
