Multivariate Tweedie Distributions and Some Related Capital-at-Risk Analysis

We study a multivariate extension of the univariate exponential dispersion Tweedie family of distributions. The class, referred to as the multi-variate Tweedie family (MTwF), on the one hand includes multivariate Poisson, gamma, inverse Gaussian, stable and compound Poisson distributions and on the other 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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Year of publication:	2010
Authors:	Furman, Edward
Other Persons:	Landsman, Zinoviy (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Multivariate Analyse \| Multivariate analysis \| Statistische Verteilung \| Statistical distribution \| Wahrscheinlichkeitsrechnung \| Probability theory \| Einkommensverteilung \| Income distribution

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