On a multivariate Pareto distribution

DOI10.1016/J.INSMATHECO.2009.11.004zbMATH Open1231.60013OpenAlexW3122843801MaRDI QIDQ659227FDOQ659227

Authors: Alexandru V. Asimit, Edward Furman, Raluca Vernic 

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13129/1/MultiParetoAFVrev.pdf

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zbMATH Keywords

dependencemixturescharacterizationseconomic weighted pricingmultivariate Pareto distributionssimultaneous loss

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10)

Cites Work

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• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• A multivariate pareto distribution
• General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
• A Multivariate Generalization of the Generalized Poisson Distribution
• Multivariate flexible Pareto model: dependency structure, properties and characterizations

Cited In (43)

• Some variations of EM algorithms for Marshall-Olkin bivariate Pareto distribution with location and scale
• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
• Choice of Copulas in Explaining Stock Market Contagion
• Generalized Marshall-Olkin distributions and related bivariate aging properties
• A pseudo-Pareto distribution and concomitants of its order statistics
• A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics
• Goodness-of-fit tests for Pareto distribution based on a characterization and their asymptotics
• Pricing risk when distributions are fat tailed
• Statistical inference for a new class of multivariate Pareto distributions
• Economic value added optimization of insurers using a multivariate Student \(t\)-model
• On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
• Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
• The joint distribution of the sum and maximum of dependent Pareto risks
• Risk aggregation in multivariate dependent Pareto distributions
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• On the evaluation of multivariate compound distributions with continuous severity distributions and Sarmanov's counting distribution
• On a multivariate gamma distribution
• On a Finite Mixture of Pareto Distributions
• Modelling lifetime dependence for older ages using a multivariate Pareto distribution
• General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
• On some layer-based risk measures with applications to exponential dispersion models
• A general multivariate new better than used (MNBU) distribution and its properties
• A form of multivariate Pareto distribution with applications to financial risk measurement
• Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses
• Weighted Pricing Functionals With Applications to Insurance
• Multiple risk factor dependence structures: distributional properties
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• Some properties of the homogeneous multivariate Pareto (IV) distribution
• On some properties of a class of multivariate Erlang mixtures with insurance applications
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• A double generalized Pareto distribution
• Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
• Tail maximal dependence in bivariate models: estimation and applications
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
• Archimedean-based Marshall-Olkin distributions and related dependence structures
• Multiple risk factor dependence structures: copulas and related properties
• A flexible family of multivariate Pareto distributions
• A generalized beta copula with applications in modeling multivariate long-tailed data
• Multivariate flexible Pareto model: dependency structure, properties and characterizations
• Lifetime dependence models generated by multiply monotone functions
• Multivariate Pareto Distributions: Inference and Financial Applications
• Paths and indices of maximal tail dependence

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