Tail conditional expectation for the bivariate Pareto distribution of first kind

MaRDI QIDQ3170517zbMATH OpenFDO

Authors Raluca Vernic

Publication date 27 September 2011

zbMATH Keywords

tail conditional expectationbivariate Pareto distribution of first kindtruncated bivariate Pareto distribution of first kind

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(3)

• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
• Tail conditional variance for elliptically contoured distributions

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