On a Multivariate Pareto Distribution
21 Pages Posted: 29 Jul 2010 Last revised: 20 Sep 2010
Date Written: July 29, 2009
Abstract
A multivariate distribution possessing arbitrarily parameterized Pareto margins is formulated and studied. The distribution is believed to allow for an adequate modeling of dependent heavy tailed risks with a non-zero probability of simultaneous loss. Numerous links to certain nowadays existing probabilistic models, as well as seemingly useful characteristic results are proved. Expressions for, e.g., decumulative distribution functions, densities, (joint) moments and regressions are developed. An application to the classical pricing problem is considered, and some formulas are derived using the recently introduced economic weighted premium calculation principles.
Keywords: Multivariate Pareto distributions, characterizations, mixtures, dependence, simultaneous loss, economic weighted pricing
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Weighted Premium Calculation Principles
By Edward Furman and Ricardas Zitikis
-
Weighted Risk Capital Allocations
By Edward Furman and Ricardas Zitikis
-
Economic Capital Allocations for Non-Negative Portfolios of Dependent Risks
By Edward Furman and Zinoviy Landsman
-
By Edward Furman and Ricardas Zitikis
-
Robust Fitting of Claim Severity Distributions and the Method of Trimmed Moments
By Vytaras Brazauskas, Bruce L. Jones, ...
-
General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
By Edward Furman and Ricardas Zitikis
-
Multivariate Tweedie Distributions and Some Related Capital-at-Risk Analysis
By Edward Furman and Zinoviy Landsman
-
On a Multivariate Pareto Distribution
By Alexandru Vali Asimit, Edward Furman, ...