Copulas, stable tail dependence functions, and multivariate monotonicity

Kurzfassung/Abstract

For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the "degree" of monotonicity is just the basic one of a whole scale. Copulas are special distribution functions, and stable tail dependence functions are special co-survival functions. It will turn out that for both classes the basic degree of monotonicity is the only one possible, apartfrom the (trivial) independence functions. As a consequence a "nesting" of such functions depends on particular circumstances. For nested Archimedean copulas the rather restrictive conditions known so far areconsiderably weakened.