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...

A new multivariate distribution possessing arbitrarily parametrized univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010). “On a multivariate Pareto distribution,” Insurance: Mathematics and Economics 46(2),...

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...

In a recent paper [Albrecher, Constantinescu and Loisel (2011). Explicit ruin formulas for models with dependence among risks. Insurance: Mathematics and Economics 48(2), 265 – 270] Professors Hansjörg Albrecher, Corina Constantinescu and Stephane Loisel noted – in passing – a way to...

One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the...