Read Multivariate Families with Mixture Dependence: Properties, Tail Conditional Expectation and Capital Allocation

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

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Description:In this book 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Multivariate Families with Mixture Dependence: Properties, Tail Conditional Expectation and Capital Allocation. To get started finding Multivariate Families with Mixture Dependence: Properties, Tail Conditional Expectation and Capital Allocation, you are right to find our website which has a comprehensive collection of manuals listed.
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Pages: 104

Format: PDF, EPUB & Kindle Edition

Publisher: LAP Lambert Academic Publishing

Release: 2010

ISBN: 3843368309

Description: In this book 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Multivariate Families with Mixture Dependence: Properties, Tail Conditional Expectation and Capital Allocation. To get started finding Multivariate Families with Mixture Dependence: Properties, Tail Conditional Expectation and Capital Allocation, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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

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

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