We investigate properties of a version of tail comonotonicity that can be applied to absolutely continuous distributions, and give several methods for constructions of multivariate distributions with tail comonotonicity or strongest tail dependence. Archimedean copulas as mixtures of powers, and...

We use the conditional distribution and conditional expectation of one random variable given the other one being large to capture the strength of dependence in the tails of a bivariate random vector. We study the tail behavior of the boundary conditional cumulative distribution function (cdf)...