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1 results

  • Tail Comonotonicity and Conservative Risk Measures

  • Lei Hua, Harry Joe
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 42 / Issue 2 / November 2012
    Published online by Cambridge University Press:
    09 August 2013, pp. 601-629
    Print publication:
    November 2012

  • Tail comonotonicity, or asymptotic full dependence, is proposed as a reasonable conservative dependence structure for modeling dependent risks. Some sufficient conditions have been obtained to justify the conservativity of tail comonotonicity. Simulation studies also suggest that, by using tail comonotonicity, one does not lose too much accuracy but gain reasonable conservative risk measures, especially when considering high scenario risks. A copula model with tail comonotonicity is applied to an auto insurance dataset. Particular models for tail comonotonicity for loss data can be based on the BB2 and BB3 copula families and their multivariate extensions.