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

被引：20
|
作者：
Vernic, Raluca [1 ]
机构：
[1] Ovidius Univ Constanta, Fac Math & Comp Sci, Constanta 900527, Romania
来源：
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2011年 / 13卷 / 01期
关键词：
Multivariate Pareto distribution of the second kind; Tail conditional expectation; RISK;
D O I：
10.1007/s11009-009-9131-9
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
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.
引用
收藏
页码：121 / 137
页数：17
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