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.
Multivariate Pareto distribution of the second kind Tail conditional expectation
Mathematics Subject Classifications (2000)
60E05 62P05 91B30
This is a preview of subscription content, log in to check access.