Risk aggregation and Extreme Events [52]

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Bullet points include: If X1 and X2 are continuous random variables and C(u1,u2) is their copula then the coefficient of lower tail dependence (if exists) is: If L > 0, i.e.  (0,1] then X1 and X2 are said to have lower tail dependence If L = 0 then X1 and X2 are said to be (lower tail) asymptotically independent Gaussian random variables have zero tail dependence (unless they are perfectly correlated)

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