On a Multivariate Pareto Distribution

By Alexandru V. Asimit, Edward Furman, Raluca Vernic. 2010

94 citations recorded by the source corpus.

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.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/798dbbbac653106493d52073b9a4dbbe165313dd

Citations in the corpus

• A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT (2016, unknown): “Specifically, the probability law in Definition 2.2 is a generalization of the classical multivariate Pareto distribution of Arnold (1983) with the d.d.f.”
• Multivariate Tweedie distributions and some related capital-at-risk analyses (2010, unknown): “Asimit et al., forthcoming.) We note that matrices (3.3) and (3.4) imply specific restrictions on the parameters of elements ofX, i.e., common rate parametersα in themodels of Cheriyan (1941), Ramabhadran (1951) andMathai and Moschopoulos (1992) and the relations c0+ck c0+cl and ( c0+ck c0+cl )2, wh”
• Weighted Pricing Functionals With Applications to Insurance (2009, unknown): “As an illustration, in Figure 2 we have depicted the CTE and Esscher economic pricing functionals when the pair (X, Y) follows four bivariate distributions: normal, classical Pareto of the second kind, gamma, and a Pareto-type distribution of Asimit et al. (2009).”