@article { ISI:000309028900029,
	title = {Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures},
	journal = {Insurance Mathematics \& Economics},
	volume = {51},
	number = {2},
	year = {2012},
	month = {SEP},
	pages = {492-503},
	publisher = {Elsevier Science BV},
	type = {Article},
	abstract = {We investigate properties of a version of tail comonotonicity that can be applied to absolutely continuous distributions, and give several methods for constructions of multivariate distributions with tail comonotonicity or strongest tail dependence. Archimedean copulas as mixtures of powers, and scale mixtures of a non-negative random vector with the mixing distribution having slowly varying tails, lead to a tail comonotonic dependence structure. For random variables that are in the maximum domain of attraction of either Frechet or Gumbel, we prove the asymptotic additivity property of Value at Risk and Conditional Tail Expectation. (C) 2012 Elsevier B.V. All rights reserved.},
	keywords = {Archimedean copula, asymptotic full dependence, Copula, Elliptical distributions, Extreme value distributions, Regularly varying, Slowly varying},
	issn = {0167-6687},
	doi = {10.1016/j.insmatheco.2012.07.006},
	author = {Hua, Lei and Joe, Harry}
}
@article { ISI:000299151700002,
	title = {Tail risk of multivariate regular variation},
	journal = {Methodology and Computing in Applied Probability},
	volume = {13},
	number = {4},
	year = {2011},
	month = {DEC},
	pages = {671-693},
	publisher = {Springer},
	type = {Article},
	abstract = {Tail risk refers to the risk associated with extreme values and is often affected by extremal dependence among multivariate extremes. Multivariate tail risk, as measured by a coherent risk measure of tail conditional expectation, is analyzed for multivariate regularly varying distributions. Asymptotic expressions for tail risk are established in terms of the intensity measure that characterizes multivariate regular variation. Tractable bounds for tail risk are derived in terms of the tail dependence function that describes extremal dependence. Various examples involving Archimedean copulas are presented to illustrate the results and quality of the bounds.},
	keywords = {Coherent risk, Copula, Regularly varying, Tail conditional expectation, Tail dependence},
	issn = {1387-5841},
	doi = {10.1007/s11009-010-9183-x},
	author = {Joe, Harry and Li, Haijun}
}
