Michel Dacorogna, Tail-Dependence an Essential Factor for

Our modelWe make the following assumptions:The expert assessments and the observations are independentThe observations are independentThe experts form their opinion independently of each otherUnder these assumptions, the posterior distribution of the value of the dependence measure reads as:PriorObservationExpertsThrough this posterior distribution we can:Estimate , e.g. via .Assess the uncertainty of our estimate, e.g. via .Tail DependenceMichel M. DacorognaETH Risk Center Workshop, Oct. 25-26, 201247An illustrative exampleThe best estimate using all information is then:Tail DependenceMichel M. DacorognaETH Risk Center Workshop, Oct. 25-26, 201248