Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach

DOI10.1007/S11009-009-9131-9zbMATH Open1208.60014OpenAlexW2047248768MaRDI QIDQ631479FDOQ631479

Authors: Raluca Vernic 

Publication date: 14 March 2011

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-009-9131-9

Recommendations

• Tail conditional expectation for the bivariate Pareto distribution of first kind
• Conditional tail expectations for multivariate phase-type distributions
• Asymptotic Analysis of Multivariate Tail Conditional Expectations
• Tail conditional variance for elliptically contoured distributions
• Multivariate tail conditional expectation for elliptical distributions

zbMATH Keywords

tail conditional expectationmultivariate Pareto distribution of the second kind

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Cites Work

• Coherent measures of risk
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• Extreme Value Theory as a Risk Management Tool
• Weighted premium calculation principles
• Economic Capital Allocation Derived from Risk Measures
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Tail Conditional Expectations for Exponential Dispersion Models
• Some properties and characterizations for generalized multivariate Pareto distributions
• Title not available (Why is that?)

Cited In (25)

• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
• Choice of Copulas in Explaining Stock Market Contagion
• Tail conditional variance for elliptically contoured distributions
• Simple risk measure calculations for sums of positive random variables
• Asymptotics for risk capital allocations based on conditional tail expectation
• Weighted risk capital allocations in the presence of systematic risk
• Tail conditional expectation for the bivariate Pareto distribution of first kind
• The joint distribution of the sum and the maximum of heterogeneous exponential random variables
• The joint distribution of the sum and maximum of dependent Pareto risks
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Tail conditional expectation for multivariate distributions: a game theory approach
• On some layer-based risk measures with applications to exponential dispersion models
• On a multivariate Pareto distribution
• Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
• A form of multivariate Pareto distribution with applications to financial risk measurement
• Multiple risk factor dependence structures: distributional properties
• Background risk models and stepwise portfolio construction
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
• Tail Conditional Expectations for Exponential Dispersion Models
• Conditional tail expectations for multivariate phase-type distributions
• A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
• Lifetime dependence models generated by multiply monotone functions
• Capital allocation for Sarmanov's class of distributions
• Multivariate distributions with time and cross-dependence: aggregation and capital allocation
• Asymptotic Analysis of Multivariate Tail Conditional Expectations

This page was built for publication: Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q631479)