A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics

DOI10.1080/03461238.2016.1255249zbMATH Open1403.62189OpenAlexW2554551234MaRDI QIDQ4577205FDOQ4577205

Harrie Hendriks, Zinoviy Landsman

Publication date: 17 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2016.1255249

zbMATH Keywords

Pareto distributionregular variationexponential distributiondivided differencestail conditional expectationrapid variationtail conditional correlation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (7)

• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
• Some Related Minima Stability and Minima Infinite Divisibility of the General Multivariate Pareto Distributions
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• Lifetime dependence models generated by multiply monotone functions
• A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
• Conditional tail risk measures for the skewed generalised hyperbolic family

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