Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach

DOI10.1007/s11009-009-9131-9zbMath1208.60014OpenAlexW2047248768MaRDI QIDQ631479

Raluca Vernic

Publication date: 14 March 2011

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-009-9131-9

zbMATH Keywords

tail conditional expectationmultivariate Pareto distribution of the second kind

Mathematics Subject Classification ID

Related Items (20)

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Cites Work

• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• Weighted premium calculation principles
• Some properties and characterizations for generalized multivariate Pareto distributions
• Coherent Measures of Risk
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Tail Conditional Expectations for Exponential Dispersion Models
• Economic Capital Allocation Derived from Risk Measures
• Extreme Value Theory as a Risk Management Tool
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