Articles liés à Multivariate Families with Mixture Dependence: Properties,...

Multivariate Families with Mixture Dependence: Properties, Tail Conditional Expectation and Capital Allocation - Couverture souple

Chiragiev, Arthur; Landsman, Zinoviy

 
9783843368308: Multivariate Families with Mixture Dependence: Properties, Tail Conditional Expectation and Capital Allocation
Couverture souple
ISBN 10 : 3843368309 ISBN 13 : 9783843368308
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

In this thesis we consider the problem of capital allocation, based on tail conditional expectation (TCE), for the class of the dependent multivariate family of distributions that essentially generalizes the classical multivariate Pareto distribution. This class can be obtained from independent exponential distributions, by a mixture of their common scale parameter. The distribution of mixture parameter belongs to the general class of distributions and, in particular, to the rich class of the exponential dispersion family (EDF). Special attention is paid to the important subclass of EDF, Tweedie family. We show that TCE-based portfolio allocation for the considered multivariate dependency structure can be represented by the tool of divided di?erences, actually known in numerical analysis. The results are illustrated with examples of multivariate Pareto, Weibull, and other distributions.

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Présentation de l'éditeur

In this thesis we consider the problem of capital allocation, based on tail conditional expectation (TCE), for the class of the dependent multivariate family of distributions that essentially generalizes the classical multivariate Pareto distribution. This class can be obtained from independent exponential distributions, by a mixture of their common scale parameter. The distribution of mixture parameter belongs to the general class of distributions and, in particular, to the rich class of the exponential dispersion family (EDF). Special attention is paid to the important subclass of EDF, Tweedie family. We show that TCE-based portfolio allocation for the considered multivariate dependency structure can be represented by the tool of divided di?erences, actually known in numerical analysis. The results are illustrated with examples of multivariate Pareto, Weibull, and other distributions.

Biographie de l'auteur

Arthur Chiragiev, PhD, Senior Risk Analyst, Researcher at the Actuarial Research Center, University of Haifa, Mount Carmel, Haifa, Israel. Email: artzur@gmail.com. Zinoviy Landsman, PhD, Professor at the Department of Statistics, Senior Researcher at the Actuarial Research Center, University of Haifa. Email: landsman@stat.haifa.ac.il

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3843368309
ISBN 13 
9783843368308
Reliure
Broché
Nombre de pages
104
Coordonnées du fabricant
non disponible
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