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),...

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...

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...