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Extreme-Value Copulas

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Copula Theory and Its Applications

Part of the book series: Lecture Notes in Statistics ((LNSP,volume 198))

Abstract

Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise naturally in the domain of extreme-value theory, they can also be a convenient choice to model general positive dependence structures. The aim of this survey is to present the reader with the state-of-the-art in dependence modeling via extreme-value copulas. Both probabilistic and statistical issues are reviewed, in a nonparametric as well as a parametric context.

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Acknowledgements

The authors’ research was supported by IAP research network grant nr. P6/03 of the Belgian government (Belgian Science Policy) and by contract nr. 07/12/002 of the Projet d’Actions de Recherche Concertées of the Communauté française de Belgique, granted by the Académie universitaire Louvain.

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  1. Institut de statistique, Université catholique de Louvain, Louvain-la-Neuve, Belgium

    Gordon Gudendorf & Johan Segers

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  1. Gordon Gudendorf
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  2. Johan Segers
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Correspondence to Gordon Gudendorf .

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  1. , Faculty of Mathematics Informatics, University of Warsaw, ul. Banacha 2, Warszawa, 02097, Poland

    Piotr Jaworski

  2. , Department of Knowledge-Based, Johannes Kepler Universität, Altenberger Straße 69, Linz, 4040, Austria

    Fabrizio Durante

  3. Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics a, Humboldt-Universität zu Berlin, Unter den Linden 6, Berlin, 10099, Germany

    Wolfgang Karl Härdle

  4. , Mathematical Institute, Polish Academy of Sciences, ul. Chopina 12, Toruń, 87100, Poland

    Tomasz Rychlik

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Gudendorf, G., Segers, J. (2010). Extreme-Value Copulas. In: Jaworski, P., Durante, F., Härdle, W., Rychlik, T. (eds) Copula Theory and Its Applications. Lecture Notes in Statistics(), vol 198. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-12465-5_6

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