KhoaDNguyen
Keen member
Hi everyone,
In Assignment X3 Q3.4 (iv) Discuss the appropriateness of Clayton Copula, the solution state: "Clayton copula is appropriate if we believe that the two suppliers are likely to behave the similarly at low levels of probability of ruin, but unlikely to behave similarly at higher probabilities."
I thought Clayton is lower tail dependence means that the supplier behave similarly way at higher probability of ruin. Am I misunderstanding anything?
Thanks for your help!
In Assignment X3 Q3.4 (iv) Discuss the appropriateness of Clayton Copula, the solution state: "Clayton copula is appropriate if we believe that the two suppliers are likely to behave the similarly at low levels of probability of ruin, but unlikely to behave similarly at higher probabilities."
I thought Clayton is lower tail dependence means that the supplier behave similarly way at higher probability of ruin. Am I misunderstanding anything?
Thanks for your help!