On a multivariate Pareto distribution
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Cites work
- scientific article; zbMATH DE number 5604057 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 1484400 (Why is no real title available?)
- A Multivariate Exponential Distribution
- A Multivariate Generalization of the Generalized Poisson Distribution
- A Primer on Copulas for Count Data
- A multivariate pareto distribution
- Characterization of a Marshall-Olkin type class of distributions
- Dependent risks and excess of loss reinsurance
- Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
- General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
- Modeling and Generating Dependent Risk Processes for IRM and DFA
- Multivariate Counting Processes: Copulas and Beyond
- Multivariate Dispersion Models Generated From Gaussian Copula
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
- Multivariate Tweedie distributions and some related capital-at-risk analyses
- Multivariate flexible Pareto model: dependency structure, properties and characterizations
- On a multivariate gamma distribution
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Residual life time at great age
- Risk measurement in the presence of background risk
- Some asymptotic results for sums of dependent random variables, with actuarial applications
- Statistical inference using extreme order statistics
- Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
- Understanding Relationships Using Copulas
- Weighted premium calculation principles
- Weighted risk capital allocations
Cited in
(43)- Paths and indices of maximal tail dependence
- Some variations of EM algorithms for Marshall-Olkin bivariate Pareto distribution with location and scale
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
- Choice of Copulas in Explaining Stock Market Contagion
- Generalized Marshall-Olkin distributions and related bivariate aging properties
- A pseudo-Pareto distribution and concomitants of its order statistics
- A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics
- Goodness-of-fit tests for Pareto distribution based on a characterization and their asymptotics
- Statistical inference for a new class of multivariate Pareto distributions
- Pricing risk when distributions are fat tailed
- Economic value added optimization of insurers using a multivariate Student \(t\)-model
- On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
- Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
- The joint distribution of the sum and maximum of dependent Pareto risks
- Risk aggregation in multivariate dependent Pareto distributions
- On a multivariate gamma distribution
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
- Modelling lifetime dependence for older ages using a multivariate Pareto distribution
- On some layer-based risk measures with applications to exponential dispersion models
- On a Finite Mixture of Pareto Distributions
- On the evaluation of multivariate compound distributions with continuous severity distributions and Sarmanov's counting distribution
- General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
- A general multivariate new better than used (MNBU) distribution and its properties
- A form of multivariate Pareto distribution with applications to financial risk measurement
- Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses
- Weighted Pricing Functionals With Applications to Insurance
- Multiple risk factor dependence structures: distributional properties
- Multivariate Tweedie distributions and some related capital-at-risk analyses
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- Some properties of the homogeneous multivariate Pareto (IV) distribution
- On some properties of a class of multivariate Erlang mixtures with insurance applications
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
- A double generalized Pareto distribution
- Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
- Tail maximal dependence in bivariate models: estimation and applications
- The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
- Archimedean-based Marshall-Olkin distributions and related dependence structures
- A flexible family of multivariate Pareto distributions
- A generalized beta copula with applications in modeling multivariate long-tailed data
- Multiple risk factor dependence structures: copulas and related properties
- Multivariate flexible Pareto model: dependency structure, properties and characterizations
- Lifetime dependence models generated by multiply monotone functions
- Multivariate Pareto Distributions: Inference and Financial Applications
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