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

DOI10.1080/03461238.2016.1255249MaRDI QIDQ4577205zbMATH OpenOpenAlexFDO

Authors Harrie Hendriks, Zinoviy Landsman

Publication date 17 July 2018

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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)

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• A practical guide to splines
• An introduction to copulas. Properties and applications
• Background risk models and stepwise portfolio construction
• Extreme value theory. An introduction.
• Multiply monotone functions and their Laplace transforms
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Multivariate Pareto Distributions
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Tail risk of multivariate regular variation

Cited in

(10)

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

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