The joint distribution of the sum and maximum of dependent Pareto risks (Q1661338): Difference between revisions
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Revision as of 04:14, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The joint distribution of the sum and maximum of dependent Pareto risks |
scientific article |
Statements
The joint distribution of the sum and maximum of dependent Pareto risks (English)
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16 August 2018
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Clayton copula
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common background risk
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dependence by mixing
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generalized Pareto distribution
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risk measures
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tail conditional expectation
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