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  • Search: subject:"Multivariate Pareto Distribution"
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Year of publication
Subject
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multivariate Pareto distribution 4 Multivariate Analyse 3 Multivariate analysis 3 Statistical distribution 3 Statistische Verteilung 3 conditional tail expectation 3 distortion risk measure 3 tail value at risk 3 weighted allocation 3 weighted premium 3 Theorie 2 Theory 2 (multivariate) Pareto distribution 1 Allocation 1 Allokation 1 Altersvorsorge 1 Asses Risk 1 Biavariate Extreme Distributions 1 Bulk annuity pricing 1 Elderly people 1 Estimation theory 1 Extreme Value Theory 1 Fisher information 1 Lifetime dependence 1 Longevity risk 1 Measurement 1 Messung 1 Monte Carlo simulation 1 Mortality 1 Multivariate Pareto Distribution 1 Multivariate Pareto distribution 1 Portfolio selection 1 Portfolio-Management 1 Probability theory 1 QQ-plots 1 Quantiles 1 Retirement provision 1 Risiko 1 Risikomanagement 1 Risikomaß 1
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Online availability
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Free 4 Undetermined 2
Type of publication
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Article 4 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Arbeitspapier 1 Article 1 Working Paper 1
Language
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English 4 Undetermined 3
Author
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Asimit, Alexandru V. 3 Vernic, Raluca 3 Zitikis, Riċardas 2 Akici, Fatih 1 Alai, Daniel H. 1 Bessia, Federico Agustín Alcalde 1 Casparri, María Teresa 1 Eryilmaz, Serkan 1 Kan, Cihangir 1 Kratz, Marie 1 Landsman, Zinoviy 1 Prokopenko, Evgeny 1 Sherris, Michael 1 Zitikis, Riçcardas 1
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Institution
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EconWPA 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Risks 2 Documents de recherche / ESSEC Centre de Recherche 1 Insurance / Mathematics & economics 1 MPRA Paper 1 Risk and Insurance 1 Risks : open access journal 1
Source
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ECONIS (ZBW) 3 RePEc 3 EconStor 1
Showing 1 - 7 of 7
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Multi-normex distributions for the sum of random vectors : rates of convergence
Kratz, Marie; Prokopenko, Evgeny - 2021
Persistent link: https://www.econbiz.de/10013173635
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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
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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
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/10011030568
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Modelling lifetime dependence for older ages using a multivariate Pareto distribution
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael - In: Insurance / Mathematics & economics 70 (2016), pp. 272-285
Persistent link: https://www.econbiz.de/10011597294
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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
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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 : open access journal 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/10009754682
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Extreme Value Theory: the bivariate case and an application for assesing risks
Bessia, Federico Agustín Alcalde; Casparri, María Teresa - EconWPA - 2005
Históricamente, la teoría en valores extremos se remonta a los comienzos de 1709 cuando Nicolás Bernoulli planteó el problema de la distancia media máxima desde el origen de “n” puntos distribuidos aleatoriamente en un línea recta de distancia fija t. Mientras que Fréchet en 1927...
Persistent link: https://www.econbiz.de/10005126109
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