@article { ISI:000313478200008,
	title = {Tail comonotonicity and conservative risk measures},
	journal = {ASTIN Bulletin},
	volume = {42},
	number = {2},
	year = {2012},
	month = {NOV},
	pages = {601-629},
	publisher = {Peeters},
	type = {Article},
	abstract = {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.},
	keywords = {Archimedean copula, asymptotic full dependence, conditional tail expectation, Copula, Dependence modeling, Laplace transform, regular variation},
	issn = {0515-0361},
	doi = {10.2143/AST42.2.2182810},
	author = {Hua, Lei and Joe, Harry}
}
@article { ISI:000293048300012,
	title = {Tail order and intermediate tail dependence of multivariate copulas},
	journal = {Journal of Multivariate Analysis},
	volume = {102},
	number = {10},
	year = {2011},
	month = {NOV},
	pages = {1454-1471},
	publisher = {Elsevier Inc},
	type = {Article},
	abstract = {In order to study copula families that have tail patterns and tail asymmetry different from multivariate Gaussian and t copulas, we introduce the concepts of tail order and tail order functions. These provide an integrated way to study both tail dependence and intermediate tail dependence. Some fundamental properties of tail order and tail order functions are obtained. For the multivariate Archimedean copula, we relate the tail heaviness of a positive random variable to the tail behavior of the Archimedean copula constructed from the Laplace transform of the random variable, and extend the results of Charpentier and Segers [7] [A. Charpentier, J. Segers, Tails of multivariate Archimedean copulas, Journal of Multivariate Analysis 100 (7)(2009) 1521-1537] for upper tails of Archimedean copulas. In addition, a new one-parameter Archimedean copula family based on the Laplace transform of the inverse Gamma distribution is proposed; it possesses patterns of upper and lower tails not seen in commonly used copula families. Finally, tail orders are studied for copulas constructed from mixtures of max-infinitely divisible copulas. (C) 2011 Elsevier Inc. All rights reserved.},
	keywords = {Archimedean copula, Laplace transform, Max-infinitely divisible, Maximal moment, Reflection symmetry, regular variation, Tail asymmetry},
	issn = {0047-259X},
	doi = {10.1016/j.jmva.2011.05.011},
	author = {Hua, Lei and Joe, Harry}
}
