Search Results - subject:"Multivariate Pareto Distribution"

Multi-normex distributions for the sum of random vectors : rates of convergence

Kratz, Marie; Prokopenko, Evgeny - 2021

Persistent link: https://www.econbiz.de/10013173635

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk: The multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riçcardas - In: Risks 1 (2013) 1, pp. 14-33

task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto … distribution of the second kind, which is an attractive model for multi-losses whose dependence and tail heaviness are influenced …

Persistent link: https://www.econbiz.de/10010421285

Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks 1 (2013) 1, pp. 14-33

Persistent link: https://www.econbiz.de/10011030568

Consecutive k-within-m-out-of-n:F system with exchangeable components

Eryilmaz, Serkan; Kan, Cihangir; Akici, Fatih - Volkswirtschaftliche Fakultät, … - 2009

numerics are provided for an exchangeable multivariate Pareto distribution. …

Persistent link: https://www.econbiz.de/10008727895