A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT
By Jianxi Su, Edward Furman. ASTIN Bulletin: The Journal of the International Actuarial Association, 2016
51 citations recorded by the source corpus.
Abstract A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010), the structure in this paper is absolutely continuous with respect to the corresponding Lebesgue measure. The distribution is of importance to actuaries through its connections to the popular frailty models, as well as because of the capacity to describe dependent heavy-tailed risks. The genesis of the new distribution is linked to a number of existing probability models, and useful characteristic results are proved. Expressions for, e.g., the decumulative distribution and probability density functions, (joint) moments and regressions are developed. The distributions of minima and maxima, as well as, some weighted risk measures are employed to exemplify possible applications of the distribution in insurance.
Subfields: Finance, Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/16104e58c8fd5b1806b673058e68f547986a2497
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Management Science and Operations Research
In Statistics and Probability
Citations in the corpus
- Financial Risk Measurement and Prediction Modelling for Sustainable Development of Business Entities Using Regression Analysis (2018, background): “Su and Furman [8] apply a form of multivariate Pareto distribution to measure financial risks.”