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On a Multivariate Pareto Distribution


Vali Alexandru Asimit


University of Manchester - School of Mathematics

Edward Furman


York University - Department of Mathematics and Statistics

Raluca Vernic


Ovidius University of Constanta

July 29, 2009

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010

Abstract:     
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 probabilistic models, as well as seemingly useful characteristic results are proved. Expressions for, e.g., decumulative distribution functions, densities, (joint) moments and regressions are developed. An application to the classical pricing problem is considered, and some formulas are derived using the recently introduced economic weighted premium calculation principles.

Number of Pages in PDF File: 21

Keywords: Multivariate Pareto distributions, characterizations, mixtures, dependence, simultaneous loss, economic weighted pricing

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Date posted: July 29, 2010 ; Last revised: September 20, 2010

Suggested Citation

Asimit, Vali Alexandru and Furman, Edward and Vernic, Raluca, On a Multivariate Pareto Distribution (July 29, 2009). Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010. Available at SSRN: http://ssrn.com/abstract=1650354

Contact Information

Vali Alexandru Asimit
University of Manchester - School of Mathematics ( email )
United Kingdom
Edward Furman (Contact Author)
York University - Department of Mathematics and Statistics ( email )
4700 Keele Street
Toronto, M3J 1P3
Canada
Raluca Vernic
Ovidius University of Constanta ( email )
b-dul Mamaia nr. 124
Constanta, 900527
Romania
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