Multivariate Tweedie distributions and some related capital-at-risk analyses |
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| Authors: | Edward Furman Zinoviy Landsman |
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| Affiliation: | a Department of Mathematics and Statistics, York University, Toronto, Ontario M3J 1P3, Canada
b Department of Statistics and Actuarial Research Center, University of Haifa, Haifa 31905, Israel |
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| Abstract: | We study a multivariate extension of the univariate exponential dispersion Tweedie family of distributions. The class, referred to as the multivariate Tweedie family (MTwF), on the one hand includes multivariate Poisson, gamma, inverse Gaussian, stable and compound Poisson distributions and on the other hand introduces a high variety of new dependent probabilistic models unstudied so far. We investigate various properties of MTwF and discuss its possible applications to financial risk management. |
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| Keywords: | Exponential dispersion models Multivariate Tweedie family Cauchy&rsquo s functional equations Risk capital allocations The tail conditional expectation risk measure |
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