The joint distribution of the sum and maximum of dependent Pareto risks

DOI10.1016/j.jmva.2018.04.002zbMath1410.60019OpenAlexW2801925831MaRDI QIDQ1661338

Tomasz J. Kozubowski, Marek Arendarczyk, Anna K. Panorska

Publication date: 16 August 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2018.04.002

zbMATH Keywords

risk measuresgeneralized Pareto distributionClayton copulatail conditional expectationdependence by mixingcommon background risk

Mathematics Subject Classification ID

Point estimation (62F10) Exact distribution theory in statistics (62E15) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05)

Related Items (4)

The joint distribution of the sum and the maximum of heterogeneous exponential random variables ⋮ Nonlinear regression using order statistics from the multivariate generalized hyperbolic distributions ⋮ A new trivariate model for stochastic episodes ⋮ A generalized linear model for multivariate events

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