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Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach. (English) Zbl 1208.60014

Summary: 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.

MSC:

60E05 Probability distributions: general theory
91B30 Risk theory, insurance (MSC2010)
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