LOWER TAIL INDEPENDENCE OF HITTING TIMES OF TWO-DIMENSIONAL DIFFUSIONS
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Published:2017-09-18
Issue:4
Volume:32
Page:522-535
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ISSN:0269-9648
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Container-title:Probability in the Engineering and Informational Sciences
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language:en
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Short-container-title:Prob. Eng. Inf. Sci.
Author:
Saunders David,Tsui Lung Kwan,Iyengar Satish
Abstract
The coefficient of tail dependence is a quantity that measures how extreme events in one component of a bivariate distribution depend on extreme events in the other component. It is well known that the Gaussian copula has zero tail dependence, a shortcoming for its application in credit risk modeling and quantitative risk management in general. We show that this property is shared by the joint distributions of hitting times of bivariate (uniformly elliptic) diffusion processes.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability