On uniform tail expansions of multivariate copulas and wide convergence of measures

Abstract

The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for a detailed study of the tail behaviour of multivariate copulas. We investigate the class of copulas having regular tails with a uniform expansion. We present several equivalent characterizations of uniform tail expansions. Next, basing on them, we determine the class of all possible leading parts of such expansions; we compute the leading parts of copulas popular in the literature, and discuss the statistical aspects of tail expansions.