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In this thesis, the tail properties of multivariate Archimedean copulas areinvestigated using known representation theorems involving L1-norm symmetricdistributions and the Williamson d-transform. Several new results on theasymptotic properties of the Williamson d-transform are established andsubsequently used to study the tails of Archimedean copulas. This makes itpossible to recover many known results regarding their tail behavior in astraightforward and transparent way. In particular, coefficients of taildependence, extreme value limits and threshold copulas are considered. Acentral theme is the emphasis on the probabilistic aspects of stochasticrepresentations, rather than the analytic aspects of representations involvingArchimedean generators.

Tail Properties of Multivariate Archimedean Copulas