Tail conditional expectation for the bivariate Pareto distribution of first kind

zbMATH Open1240.60019MaRDI QIDQ3170517FDOQ3170517

Authors: Raluca Vernic 

Publication date: 27 September 2011

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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)

Cited In (3)

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

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