Title: An ordering for extremal dependence
Authors: Christopher Strothmann - TU Dortmund University (Germany) [presenting]
Karl Friedrich Siburg - TU Dortmund (Germany)
Abstract: A preorder of tail dependence is introduced to compare different degrees of extremal dependence. Several properties of this preorder, e.g. maximal and minimal elements, symmetry and its relation to the tail-order function, are investigated. Afterwards, various monotone measures for the tail-dependence order are considered and evaluated according to their relevance for some well-known copula families. Finally, an approach to generate families of copulas which are ordered by their tail-dependence functions is presented.