The joint distribution of the sum and maximum of dependent Pareto risks
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Publication:1661338
DOI10.1016/j.jmva.2018.04.002zbMath1410.60019OpenAlexW2801925831MaRDI QIDQ1661338
Tomasz J. Kozubowski, Marek Arendarczyk, 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
risk measuresgeneralized Pareto distributionClayton copulatail conditional expectationdependence by mixingcommon background risk
Point estimation (62F10) Exact distribution theory in statistics (62E15) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05)
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