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

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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.

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Authors and Affiliations

  1. Faculty of Mathematics and Computer Science, Ovidius University of Constanta, 124 Mamaia Blvd, 900527, Constanta, Romania

    Raluca Vernic

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  1. Raluca Vernic
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Correspondence to Raluca Vernic.

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Vernic, R. Tail Conditional Expectation for the Multivariate Pareto Distribution of the Second Kind: Another Approach. Methodol Comput Appl Probab 13, 121–137 (2011). https://doi.org/10.1007/s11009-009-9131-9

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  • DOI: https://doi.org/10.1007/s11009-009-9131-9

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