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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 nowadays existing...
Persistent link: https://www.econbiz.de/10014153813
Solutions to the parameter estimation problem of the multivariate Pareto distribution of Asimit et al. (2010) are developed and exemplified numerically. Namely, a density of the aforementioned multivariate Pareto distribution with respect to a dominating measure, rather than the corresponding...
Persistent link: https://www.econbiz.de/10013008321
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In this article, we show, in the context of partial hedging, that some important relationships about comonotonicity and convex order cannot be translated to counter-monotonicity in general because of the possibility of over-hedging. We propose a new notion called proper hedge that can e...
Persistent link: https://www.econbiz.de/10013117907
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This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...
Persistent link: https://www.econbiz.de/10011334834
This paper contributes to insurance risk management by modeling extreme climate risk and extreme mortality risk in an integrated manner via extreme value theory (EVT). We conduct an empirical study using monthly temperature and death data in the U.S., and nd that the joint extremes in cold...
Persistent link: https://www.econbiz.de/10012859067
This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...
Persistent link: https://www.econbiz.de/10012783804
Assuming the multiplicative background risk model, which has been a popular model due to its practical applicability and technical tractability, we develop a general framework for analyzing portfolio performance based on its subportfolios. Since the performance of subportfolios is easier to...
Persistent link: https://www.econbiz.de/10013007127