Diversification for general copula dependence

Abstract

We generalize the extreme value analysis for Archimedean copulas (see Alink , Löwe and Wüthrich , 2003) to the non‐Archimedean case: Assume we have d ≥2 exchangeable and continuously distributed risks X 1 ,…, X d . Under appropriate assumptions there is a constant q d such that, for all large u , we have . The constant q d describes the asymptotic dependence structure. Typically, q d will depend on more aspects of this dependence structure than the well‐known tail dependence coefficient.