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The paper provides exact expressions for dependence measures for various families of bivariate extreme value copulas and confirms their correctness numerically.
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This research derives exact dependence measures for bivariate extreme value copulas, indicating accurate risk assessment in extreme events.
Extreme value copulas are important because they model the dependence structure between extreme events, allowing for accurate risk assessment in fields such as finance, insurance, and environmental studies. In this paper, we derive exact expressions for four of the most popular dependence measures of bivariate extreme value copulas and check their correctness numerically. Over twenty families of bivariate extreme value copulas are considered.
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Nadarajah et al. (2025) reported a null. The paper provides exact expressions for dependence measures for various families of bivariate extreme value copulas and confirms their correctness numerically.
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