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

DOI10.1017/asb.2016.22zbMath1390.62095arXiv1607.04737OpenAlexW3126052104MaRDI QIDQ4563796

Edward Furman, Jianxi Su

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.04737

zbMATH Keywords

characterizationsminimamaximadependencemultivariate Pareto distributionsweighted risk measures

Mathematics Subject Classification ID

Related Items (12)

CMPH: a multivariate phase-type aggregate loss distribution ⋮ BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL ⋮ Multiple risk factor dependence structures: copulas and related properties ⋮ Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ Multiple risk factor dependence structures: distributional properties ⋮ Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions ⋮ Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ Statistical foundations for assessing the difference between the classical and weighted-Gini betas ⋮ Tail maximal dependence in bivariate models: estimation and applications ⋮ An approximation method for risk aggregations and capital allocation rules based on additive risk factor models ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics ⋮ Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020

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