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Consider our loss-ALAE dataset, and - as in Frees & Valdez (1998) - let us fit a parametric model, in order to price a reinsurance treaty. The dataset is the following,
> library(evd)
> data(lossalae)
> Z=lossalae
> X=Z;Y=Z
...

As mentioned in the course last week Venter (2003) suggested nice functions to illustrate tail dependence (see also some slides used in Berlin a few years ago).
Joe (1990)'s lambda
Joe (1990) suggested a (strong) tail dependence index. For lower t...

Tomorrow, we will discuss Fisher-Tippett theorem. The idea is that there are only three possible limiting distributions for normalized versions of the maxima of i.i.d. samples . For bounded distribution, consider e.g. the uniform distribution on t...