The joint distribution of the sum and maximum of dependent Pareto risks (Q1661338)
From MaRDI portal
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)
0 references
16 August 2018
0 references
Clayton copula
0 references
common background risk
0 references
dependence by mixing
0 references
generalized Pareto distribution
0 references
risk measures
0 references
tail conditional expectation
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
