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...

We derive consistency, asymptotic normality, and standard error estimation for the tail conditional allocation, also known as the marginal expected shortfall, under minimal conditions and thus geared toward widest applicability. These advances have become possible due to a newly developed...

Gini-type correlation coefficients have become increasingly important in a variety of research areas, including economics, insurance and finance, where modelling with heavy-tailed distributions is of pivotal importance. In such situations, naturally, the classical Pearson correlation coefficient...