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A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT - MaRDI portal

A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT (Q4563796)

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scientific article; zbMATH DE number 6880355
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A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT
scientific article; zbMATH DE number 6880355

    Statements

    title
    A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT (English)
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    author
    Jianxi Su
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    Edward Furman
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    publication date
    4 June 2018
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    zbMATH Keywords
    multivariate Pareto distributions
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    characterizations
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    dependence
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    weighted risk measures
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    minima
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    maxima
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    cites work
    Q3395941
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    Q5842406
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    Q5512461
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    Q3084090
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    Q4493303
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    Q5805329
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    Identifiers

    DOI
    10.1017/asb.2016.22
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    Mathematics Subject Classification ID
    62H10
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    62P05
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    91B30
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    zbMATH DE Number
    6880355
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    OpenAlex ID
    W3126052104
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    arXiv ID
    1607.04737
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