We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with the new paradigm of prudent risk management. This...

Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk analysis.When it comes to quantifying the extent of tail...

Since the pioneering work of Gerhard Grüss dating back to 1935, Grüss’s inequality and, more generally, Grüss-type bounds for covariances have fascinated researchers and found numerous applications in areas such as economics, insurance, reliability, and, more generally, decision making...