广义Logistic模型及其正尾依赖
Generalized Logistic Models and its orthant tail dependence
摘要：
多元极值分布在环境研究、金融和保险数学中已显示出其有用性。Logistic或Gumbel-Hougaard分布是最古老的多元极值模型之一，它已被扩展到非对称模型。本文引入了广义Logistic多元分布。我们的工具是Copula和稳定混合变量的混合，扩展了Tawn（1990），Joe和Hu（1996）和Fougères等人（2009）的方法。所考虑的多元极值分布的参数族给出了一个灵活的相关结构，我们计算了Li（2009）中考虑的多元尾部相关系数。
英文摘要：
The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and it has been extended to asymmetric models. In this paper we introduce generalized logistic multivariate distributions. Our tools are mixtures of copulas and stable mixing variables, extending approaches in Tawn (1990), Joe and Hu (1996) and Fougères et al. (2009). The parametric family of multivariate extreme value distributions considered presents a flexible dependence structure and we compute for it the multivariate tail dependence coefficients considered in Li (2009).
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