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Generalized logistic model and its orthant tail dependence
Kybernetika, Tome 47 (2011) no. 5, pp. 732-739 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and it has been extended to asymmetric models. In this paper we introduce generalized logistic multivariate distributions. Our tools are mixtures of copulas and stable mixing variables, extending approaches in Tawn [14], Joe and Hu [6] and Fougères et al. [3]. The parametric family of multivariate extreme value distributions considered presents a flexible dependence structure and we compute for it the multivariate tail dependence coefficients considered in Li [7].
The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and it has been extended to asymmetric models. In this paper we introduce generalized logistic multivariate distributions. Our tools are mixtures of copulas and stable mixing variables, extending approaches in Tawn [14], Joe and Hu [6] and Fougères et al. [3]. The parametric family of multivariate extreme value distributions considered presents a flexible dependence structure and we compute for it the multivariate tail dependence coefficients considered in Li [7].
Classification : 60G70
Keywords: multivariate extreme value distribution; tail dependence; logistic model; mixture 
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Ferreira, Helena; Pereira, Luisa. Generalized logistic model and its orthant tail dependence. Kybernetika, Tome 47 (2011) no. 5, pp. 732-739. http://geodesic.mathdoc.fr/item/KYB_2011_47_5_a5/

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