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Tail Dependence Functions of Two Classes of Bivariate Skew Distributions

Author

Listed:
  • Xin Lao

    (University of Shanghai for Science and Technology)

  • Zuoxiang Peng

    (Southwest University)

  • Saralees Nadarajah

    (University of Manchester)

Abstract

The tail dependence function, one method of measuring the strength of extremal dependence between two or more random variables, is attracting an increasing attention in risk management. In this paper, we focus on the asymptotics of tail dependence functions of bivariate skew quasi elliptical and bivariate half-skew elliptical random vectors. The tail dependence functions of the two classes of bivariate skew random vectors are derived. Further, the decay rates of the tail dependence functions are derived if the distributional tail of the random radius satisfies certain second-order regularly varying conditions. Numerical analysis with several examples is given to illustrate the decay rates.

Suggested Citation

  • Xin Lao & Zuoxiang Peng & Saralees Nadarajah, 2023. "Tail Dependence Functions of Two Classes of Bivariate Skew Distributions," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-24, March.
    • Handle: RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09986-1
    DOI: 10.1007/s11009-023-09986-1
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    References listed on IDEAS

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