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

  • Raluca Vernic
Article

Abstract

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.

Keywords

Multivariate Pareto distribution of the second kind Tail conditional expectation 

Mathematics Subject Classifications (2000)

60E05 62P05 91B30 

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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  1. 1.Faculty of Mathematics and Computer ScienceOvidius University of ConstantaConstantaRomania

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