The joint distribution of the sum and maximum of dependent Pareto risks (Q1661338)
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scientific article; zbMATH DE number 6919547
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| English | The joint distribution of the sum and maximum of dependent Pareto risks |
scientific article; zbMATH DE number 6919547 |
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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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0.8425449132919312
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0.8368939757347107
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0.829795241355896
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0.8041529655456543
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0.8025709986686707
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