Talk at the statistical seminar at the Université de Bretagne Occidentale, in Brest, Wednesday May 6th Tuesday May 5th, 14h (in  10 days), on “multivariate extremes“. Slides can be found here.

The talk will give a detailed introduction on multivariate extremes and related concepts. Then the case of Archimedean copula will be fully described (following the paper with Johan Segers).

[04/05/2009]: some applications in risk management will be shown at the end of talk, as well as some news things on spatial correlation.

and in order to illustrate tail convergence of Archimedean copulas, I have uploaded two animations, with tail independence below,

with tail dependence (or asymptotic dependence),

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