On a multivariate Pareto distribution |
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Authors: | Alexandru V. Asimit Raluca Vernic |
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Affiliation: | a School of Mathematics, University of Manchester, Manchester M13 9PL, United Kingdom b Department of Mathematics and Statistics, York University, Toronto, Ontario M3J 1P3, Canada c Faculty of Mathematics and Informatics, Ovidius University of Constanta, Constanta, Romania d Institute of Mathematical Statistics and Applied Mathematics, Bucharest, Romania |
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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 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. |
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Keywords: | IM01 IM10 IM54 |
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