On a multivariate gamma distribution

DOI10.1016/j.spl.2008.02.012zbMath1146.62329OpenAlexW3122016100MaRDI QIDQ951178

Edward Furman

Publication date: 30 October 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.02.012

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• Risk capital decomposition for a multivariate dependent gamma portfolio
• A form of multivariate gamma distribution
• Multivariate Fréchet copulas and conditional value-at-risk
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• Statistical distributions related to the inverse gaussian
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