The frailty and the Archimedean structure of the general multivariate Pareto distributions

MaRDI QIDQ5446155zbMATH OpenFDO

Authors Hsiaw-Chan Yeh

Publication date 6 March 2008

zbMATH Keywords

Laplace transformfrailty modelKendall's \(\tau\)Archimedean generator\(k\)-variate survival copulasClayton family

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Survival analysis and censored data (62N99)

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(5)

• The frailty and the Archimedean structure of the general multivariate Pareto distributions
• Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables
• High level quantile approximations of sums of risks
• Impact of dependence on some multivariate risk indicators
• Explicit ruin formulas for models with dependence among risks

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