Orthant tail dependence of multivariate extreme value distributions

AMS 2000 subject classifications: 62H20 62P05 Keywords: Tail dependence Heavy tails Copula Multivariate extreme value distribution Marshall–Olkin distribution Archimedean copula Contagion risk a b s t r a c t The orthant tail dependence describes the relative deviation of upper-(or lower-) orthant tail probabilities of a random vector from similar orthant tail probabilities of a subset of its components, and can be used in the study of dependence among extreme values. Using the conditional approach, this paper examines the extremal dependence properties of multivariate extreme value distributions and their scale mixtures, and derives the explicit expressions of orthant tail dependence parameters for these distributions. Properties of the tail dependence parameters, including their relations with other extremal dependence measures used in the literature, are discussed. Various examples involving multivariate exponential, multivariate logistic distributions and copulas of Archimedean type are presented to illustrate the results.