• Title of article

    Multivariate Tweedie distributions and some related capital-at-risk analyses

  • Author/Authors

    Furman، نويسنده , , Edward and Landsman، نويسنده , , Zinoviy، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2010
  • Pages
    11
  • From page
    351
  • To page
    361
  • Abstract
    We study a multivariate extension of the univariate exponential dispersion Tweedie family of distributions. The class, referred to as the multivariate Tweedie family (MTwF), on the one hand includes multivariate Poisson, gamma, inverse Gaussian, stable and compound Poisson distributions and on the other hand introduces a high variety of new dependent probabilistic models unstudied so far. We investigate various properties of MTwF and discuss its possible applications to financial risk management.
  • Keywords
    Exponential dispersion models , Multivariate Tweedie family , Cauchy’s functional equations , The tail conditional expectation risk measure , Risk capital allocations
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    2010
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1543959