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
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