Application of Eztreme Value Copula Functions for Measuring Bivariate Tail Dependence

摘要：

Tail dependence plays an important role in extreme value theory, finance and insurance models.The aim of this work is to discuss the characteristics of some extreme value copula functions, and then using them to analyze the tail dependence between hospital charges and other expenses relating to medical insurance large claims. The results show that these two variates share an obvious positive correlation, and Mixed copula is perfect in the dependence models. At last, the reinsurance indemnity is formulated using extreme value copula.

关键词： Bivariate Eztreme Value Copulas Tail Dependence Dependence Function t-EV Copula Gumbel Copula Reinsurance

作者: WU Juan LIU CiHua QIU XiaoXia

作者单位: School of Mathematics and Statistics, Huazhong University of Science and Technology, P.R.China, 430074

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-6

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）