Ledford and Tawn (1997) introduced a flexible bivariate tail model based on the coefficient of tail dependence and on the dependence of the extreme values of the random variables. In this paper, we extend the concept by specifying the slowly varying part of the model as done by Hall (1982) with...

In this paper we give the outline of a research project developed in a cooperation between the actuarial, financial and statistical research groups of the Faculty of Economics and Applied Economics and the research group on statistics in the Mathematical Department. The main purpose consists...

The estimation of a dependence index introduced in bivariate extreme value methodology by Ledford and Tawn (Biometrika 83(1) (1996) 169) is discussed. It is argued that estimators with bad bias properties are to be avoided. In this spirit we also suggest a new estimator.