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Multivariate tail conditional expectation for elliptical distributions

JOURNAL ARTICLE published September 2016 in Insurance: Mathematics and Economics

Authors: Zinoviy Landsman | Udi Makov | Tomer Shushi

https://doi.org/10.1016/j.insmatheco.2016.05.017 Actions

Conditional Dependence of Trivariate Generalized Pareto Distributions

JOURNAL ARTICLE published 15 June 2010 in Asian Journal of Mathematics & Statistics

Authors: Diakarya Barro

https://doi.org/10.3923/ajms.2010.166.178 Actions

Maximum entropy characterizations of the multivariate Liouville distributions

JOURNAL ARTICLE published July 2006 in Journal of Multivariate Analysis

Authors: Bhaskar Bhattacharya

https://doi.org/10.1016/j.jmva.2005.06.011 Actions

Conditional Dependence of Trivariate Generalized Pareto Distributions

JOURNAL ARTICLE published 15 April 2009 in Asian Journal of Mathematics & Statistics

Authors: Diakarya Barro

https://doi.org/10.3923/ajms.2009.20.32 Actions

Technical Note—An Unexpected Stochastic Dominance: Pareto Distributions, Dependence, and Diversification

JOURNAL ARTICLE published 21 March 2024 in Operations Research

Authors: Yuyu Chen | Paul Embrechts | Ruodu Wang

https://doi.org/10.1287/opre.2022.0505 Actions

Risk aggregation in multivariate dependent Pareto distributions

JOURNAL ARTICLE published November 2016 in Insurance: Mathematics and Economics

Research funded by Fundación Banco Santander (APIE 1/2015-17)

Authors: José María Sarabia | Emilio Gómez-Déniz | Faustino Prieto | Vanesa Jordá

https://doi.org/10.1016/j.insmatheco.2016.07.009 Actions

Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence

JOURNAL ARTICLE published 24 August 2007 in Metrika

Authors: Friedrich Schmid | Rafael Schmidt

https://doi.org/10.1007/s00184-006-0114-3 Actions

A multivariate tail covariance measure for elliptical distributions

JOURNAL ARTICLE published July 2018 in Insurance: Mathematics and Economics

Research funded by Israel Science Foundation (1686/17)

Authors: Zinoviy Landsman | Udi Makov | Tomer Shushi

https://doi.org/10.1016/j.insmatheco.2018.04.002 Actions

Dynamic Asymmetric Tail Dependence in Asian Developed Futures Markets

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Qing Xu | Xiaoming Li

https://doi.org/10.2139/ssrn.961026 Actions

Pareto Distribution

BOOK CHAPTER published 19 June 2006 in Statistics: A Series of Textbooks and Monographs

https://doi.org/10.1201/9781420011371.ch23 Actions

Asymptotic risk decomposition for regularly varying distributions with tail dependence

JOURNAL ARTICLE published August 2022 in Applied Mathematics and Computation

Authors: Eglė Jaunė | Jonas Šiaulys

https://doi.org/10.1016/j.amc.2022.127164 Actions

Tail order and intermediate tail dependence of multivariate copulas

JOURNAL ARTICLE published November 2011 in Journal of Multivariate Analysis

Authors: Lei Hua | Harry Joe

https://doi.org/10.1016/j.jmva.2011.05.011 Actions

Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients

JOURNAL ARTICLE published July 2019 in Journal of Multivariate Analysis

Research funded by NSERC, Canada (8698)

Authors: Pavel Krupskii | Harry Joe

https://doi.org/10.1016/j.jmva.2019.02.013 Actions

Some notes on multivariate generalized Pareto distributions

JOURNAL ARTICLE published July 2008 in Journal of Multivariate Analysis

Authors: René Michel

https://doi.org/10.1016/j.jmva.2007.08.007 Actions

Sequences of elliptical distributions and mixtures of normal distributions

JOURNAL ARTICLE published February 2006 in Journal of Multivariate Analysis

Authors: E. Gómez-Sánchez-Manzano | M.A. Gómez-Villegas | J.M. Marín

https://doi.org/10.1016/j.jmva.2005.03.008 Actions

Extremal dependence of copulas: A tail density approach

JOURNAL ARTICLE published February 2013 in Journal of Multivariate Analysis

Research funded by NSF (CMMI 0825960,DMS 1007556)

Authors: Haijun Li | Peiling Wu

https://doi.org/10.1016/j.jmva.2012.07.005 Actions

A note on tail dependence regression

JOURNAL ARTICLE published September 2013 in Journal of Multivariate Analysis

Research funded by NSFC (11171074,11131002,11271032)

Authors: Qingzhao Zhang | Deyuan Li | Hansheng Wang

https://doi.org/10.1016/j.jmva.2013.05.007 Actions

Modelling lifetime dependence for older ages using a multivariate Pareto distribution

JOURNAL ARTICLE published September 2016 in Insurance: Mathematics and Economics

Research funded by ARC Linkage Grant Project (LP0883398) | Australian Research Council Centre of Excellence in Population Ageing Research (CE110001029)

Authors: Daniel H. Alai | Zinoviy Landsman | Michael Sherris

https://doi.org/10.1016/j.insmatheco.2016.06.016 Actions

Some properties of multivariate extreme value distributions and multivariate tail equivalence

JOURNAL ARTICLE published December 1987 in Annals of the Institute of Statistical Mathematics

Authors: Rinya Takahashi

https://doi.org/10.1007/bf02491496 Actions

Multivariate tail covariance risk measure for generalized skew-elliptical distributions

JOURNAL ARTICLE published August 2022 in Journal of Computational and Applied Mathematics

Authors: Baishuai Zuo | Chuancun Yin

https://doi.org/10.1016/j.cam.2022.114210 Actions
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