A generalization of multivariate Pareto distributions : tail risk measures, divided differences and asymptotics
Harrie Hendriks and Zinoviy Landsman
| Year of publication: |
August-December 2017
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| Authors: | Hendriks, Harrie ; Landsman, Zinoviy |
| Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2017, 9, p. 785-803
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| Subject: | Exponential distribution | Pareto distribution | divided differences | tail conditional expectation | tail conditional correlation | regular variation | rapid variation | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Pareto-Optimum | Pareto efficiency | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2016.1255249 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011848675