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LOWER TAIL INDEPENDENCE OF HITTING TIMES OF TWO-DIMENSIONAL DIFFUSIONS
Published online by Cambridge University Press: 18 September 2017
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.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 32 , Issue 4 , October 2018 , pp. 522 - 535
- Copyright
- Copyright © Cambridge University Press 2017