Application of Extreme Value Copula Functions for Measuring Bivariate Tail Dependence

摘要

Tail dependence plays an important role in extreme value theory, finance and insurance models.The aim of this work is to discuss the characteristics of some extreme value copula functions, and then using them to analyze the tail dependence between hospital charges and other expenses relating to medical insurance large claims. The results show that these two variates share an obvious positive correlation, and Mixed copula is perfect in the dependence models. At last, the reinsurance indemnity is formulated using extreme value copula.