Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions

By Haijun Li, Yannan Sun. Journal of Applied Probability, 2009

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Asymptotic Analysis of Multivariate Tail Conditional Expectations (2012, methodology): “A multivariate regular variation method based on the tail dependence function (see Joe et al. 2010; Li and Sun 2009) was developed in Joe and Li (2011) to derive tractable asymptotic bounds for multivariate TCEs, but these bounds are expressed in terms of univariate integrals of tail dependence…”
Tail Risk of Multivariate Regular Variation (2011, background): “Unlike λU , however, the tail dependence function provides all the extremal dependence information [29, 18, 26].”