The joint distribution of the sum and maximum of dependent Pareto risks

DOI10.1016/J.JMVA.2018.04.002zbMATH Open1410.60019OpenAlexW2801925831WikidataQ129914284 ScholiaQ129914284MaRDI QIDQ1661338FDOQ1661338

Authors: Marek Arendarczyk, Tomasz J. Kozubowski, Anna K. Panorska 

Publication date: 16 August 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2018.04.002

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zbMATH Keywords

generalized Pareto distributionrisk measuresClayton copulatail conditional expectationdependence by mixingcommon background risk

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Point estimation (62F10) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50)

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Cited In (12)

• A bivariate distribution with Lomax and geometric margins
• On sums of independent generalized Pareto random variables with applications to insurance and cat bonds
• The joint distribution of the sum and the maximum of heterogeneous exponential random variables
• Risk aggregation in multivariate dependent Pareto distributions
• On a multivariate Pareto distribution
• Sum of Bernoulli mixtures: beyond conditional independence
• A form of multivariate Pareto distribution with applications to financial risk measurement
• A new trivariate model for stochastic episodes
• A generalized linear model for multivariate events
• Asymptotic results for sums and extremes
• Nonlinear regression using order statistics from the multivariate generalized hyperbolic distributions
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks

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