In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...

This paper presents an extension of the classical compound Poisson risk model for which the inter-claim time and the forthcoming claim amount are no longer independent random variables. Asymptotic tail probabilities for the discounted aggregate claims are presented when the force of interest is...

The risk exposure of a business line could be perceived in many ways and is sensitive to the exercise that is performed. One way is to understand the effect of some common/reference risk over the performance of the business line in question, but irrespective of the modelling exercise, the...

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...

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...

By assuming that the underlying distribution belongs to the domain of attraction of an extreme value distribution, one can extrapolate the data to a far tail region so that a rare event can be predicted. However, when the distribution is in the domain of attraction of a Gumbel distribution, the...