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Multivariate Families with Mixture Dependence: Properties, Tail Conditional Expectation and Capital Allocation - Softcover
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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About the Author
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
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Multivariate Families with Mixture Dependence
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LAP LAMBERT Academic Publishing Nov 2010, 2010
ISBN 10: 3843368309
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 104 pp. Englisch. Seller Inventory # 9783843368308
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Multivariate Families with Mixture Dependence
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Multivariate Families with Mixture Dependence
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Multivariate Families with Mixture Dependence
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VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2010
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ISBN 13: 9783843368308
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Multivariate Families with Mixture Dependence
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ISBN 10: 3843368309
ISBN 13: 9783843368308
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 104 pp. Englisch. Seller Inventory # 9783843368308
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Multivariate Families with Mixture Dependence : Properties, Tail Conditional Expectation and Capital Allocation
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LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3843368309
ISBN 13: 9783843368308
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Seller Inventory # 9783843368308
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Multivariate Families with Mixture Dependence | Properties, Tail Conditional Expectation and Capital Allocation
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Taschenbuch. Condition: Neu. Multivariate Families with Mixture Dependence | Properties, Tail Conditional Expectation and Capital Allocation | Arthur Chiragiev (u. a.) | Taschenbuch | 104 S. | Englisch | 2010 | LAP LAMBERT Academic Publishing | EAN 9783843368308 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Seller Inventory # 107237243