Tail Conditional Expectation for the Multivariate Pareto Distribution of the Second Kind: Another Approach

被引：0
|
作者：
Raluca Vernic
机构：
[1] Ovidius University of Constanta,Faculty of Mathematics and Computer Science
来源：
Methodology and Computing in Applied Probability | 2011年 / 13卷
关键词：
Multivariate Pareto distribution of the second kind; Tail conditional expectation; 60E05; 62P05; 91B30;
D O I：
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学科分类号：
摘要：
In risk analysis, the Tail Conditional Expectation (TCE) describes the expected amount of risk that can be experienced given that the risk exceeds a threshold value. Thus, TCE provides an important measure of the right-tail risk. In this paper, we present TCE formulas for the multivariate Pareto distribution of the second kind. Because of the complex form of this distribution, the formulas for the n-variate case are expressed recursively, in terms of the (n − 1)-variate case.
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页码：121 / 137
页数：16
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