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Publication:5490584
DOI10.2143/AST.35.1.583171zbMath1099.62121MaRDI QIDQ5490584
Publication date: 4 October 2006
Published in: ASTIN Bulletin (Search for Journal in Brave)
exponential principle; expected value of extremes; power principle, constant risk aversion; tail-index uncertainty
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G32: Statistics of extreme values; tail inference
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Explicit expressions for moments of Pareto order statistics, Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
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