Scale mixtures of Kotz-Dirichlet distributions

DOI10.1016/J.JMVA.2011.08.012zbMath1273.60018OpenAlexW1981031771MaRDI QIDQ690957

Narayanaswamy Balakrishnan, Enkelejd Hashorva

Publication date: 29 November 2012

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.08.012

zbMATH Keywords

coefficient of tail dependenceDirichlet distributionrandom scalingelliptical distribution\(t\)-distributionconditional excess distributionconditional limiting theoremKotz approximationKotz type distributionPearson-Kotz Dirichlet distribution

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)

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The joint distribution of the sum and maximum of dependent Pareto risks ⋮ Archimedean copulas in finite and infinite dimensions -- with application to ruin problems ⋮ Extremes of aggregated Dirichlet risks ⋮ Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks

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