Title: A Markov product for tail dependence functions
Authors: Christopher Strothmann - TU Dortmund University (Germany) [presenting]
Abstract: A d-fold product structure * on the set of all bivariate tail dependence functions is introduced which is akin to the Markov product of 2-copulas. Several algebraic properties of * are investigated and its relationship to the tail behaviour of the Markov product of 2-copulas is examined. Finally, dependence reducing properties with regard to the extremal ordering are derived.